Recursive FMOLS coefficients

[ylijohtaja]

Hi all,

I wonder whether any one has programmed a procedure that would do recursive FMOLS estimation collecting the estimated coefficients for each recursive estimation.
If not, would it be possible to get that kind of procedure in the future?

[EViews Gareth]

Rolling estimation is best performed in an EViews program. There are lots of examples here on the forum. It is probably straight forward to take an example and modify the code to estimate FMOLS rather than OLS.