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I would like to use a moving average of a series as an independent variable in an OLS equation but EViews does not seem to allow it. I can get around this by putting in a long hand calculation equal to the moving average but this is very cumbersome. Is there a way around this problem?
EViews Gareth wrote:
Hope you're well.
I understand that in the above, x = the series I want to manipulate, and 3 is the fixed rolling window.
But how could I use the @MAV(x,3) function above to generate a series with an expanding rolling window? i.e. I'd like no restrictions, so the 3 shouldn't be there, rather it should be infinitity/unlimited.
Currently I can do fixed rolling moving average using the following series rtmovavgasx200=@mav(rtasx200,5) while this might still be satisfactory (I still need to confirm with my superior), I'd like to know how to do the expanding rolling window just in case. Any help appreciated.
EViews Gareth wrote:I don't understand what an infinite moving average is.
I think I've fixed it. I simply changed the 5 above to 5,218 for the total number of observations. This way it's like a long term mean. This is what I needed, although I may yet not use it.
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