store constant and coefficient of rolling regression
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store constant and coefficient of rolling regression
I would like to store the constant and coefficient of each rolling regression.
Could you please help me?
Could you please help me?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Re: store constant and coefficient of rolling regression
What have you done so far?
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Re: store constant and coefficient of rolling regression
I found the solution to store the constant and coefficient.
But I don't know how to store the probability/t-value for each coefficient.
But I don't know how to store the probability/t-value for each coefficient.
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Re: store constant and coefficient of rolling regression
What have you done so far?
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Re: store constant and coefficient of rolling regression
My regression equation: strategy_rate_!j = alpha + beta*actual_rate_!j
This is my code:
========
for !j=1 to 28
genr strategy_rate_!j = strategy_return_!j - rate_!j
genr actual_rate_!j = return_!j - rate_!j
equation eq!j.ls strategy_rate_!j c actual_rate_!j
matrix(2,28) alpha_beta
colplace(alpha_beta,eq!j.@coefs,!j)
next
=========
I want to save value of alpha, beta, and its t-value. But I just wrote code to save alpha and beta.
This is my code:
========
for !j=1 to 28
genr strategy_rate_!j = strategy_return_!j - rate_!j
genr actual_rate_!j = return_!j - rate_!j
equation eq!j.ls strategy_rate_!j c actual_rate_!j
matrix(2,28) alpha_beta
colplace(alpha_beta,eq!j.@coefs,!j)
next
=========
I want to save value of alpha, beta, and its t-value. But I just wrote code to save alpha and beta.
Re: store constant and coefficient of rolling regression
Could you please help to show me how to save the t-value for each coefficient of the regression?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Re: store constant and coefficient of rolling regression
Do exactly the same thing, but rather than use:
use
Code: Select all
eq!j.@coefs
use
Code: Select all
eq!j.@tstats
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Re: store constant and coefficient of rolling regression
thanks so much for your help!
Re: store constant and coefficient of rolling regression
I have one more question.
The code "@coefs" is to save all coefficients of the regression.
Can we save only one coefficient and t-stat at a time?
The code "@coefs" is to save all coefficients of the regression.
Can we save only one coefficient and t-stat at a time?
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Re: store constant and coefficient of rolling regression
thanks so much for your help!
Re: store constant and coefficient of rolling regression
This is my code to extract the coefficients and t-stat of the regression in a table.
========
for !j=1 to 28
genr strategy_rate_!j = strategy_return_!j - rate_!j
genr actual_rate_!j = return_!j - rate_!j
equation eq!j.ls strategy_rate_!j c actual_rate_!j
matrix(28,4) alpha_beta
alpha_beta(!j,1) = eq!j.@coefs(1)
alpha_beta(!j,2) = eq!j.@tstats(1)
alpha_beta(!j,3) = eq!j.@coefs(2)
alpha_beta(!j,4) = eq!j.@tstats(2)
next
========
Eviews shows an error: "Division by zero in ALPHA_BETA(21,2) = EQ21.@tstat(1)"
What is the problem? How can I fix it?
Thanks!
========
for !j=1 to 28
genr strategy_rate_!j = strategy_return_!j - rate_!j
genr actual_rate_!j = return_!j - rate_!j
equation eq!j.ls strategy_rate_!j c actual_rate_!j
matrix(28,4) alpha_beta
alpha_beta(!j,1) = eq!j.@coefs(1)
alpha_beta(!j,2) = eq!j.@tstats(1)
alpha_beta(!j,3) = eq!j.@coefs(2)
alpha_beta(!j,4) = eq!j.@tstats(2)
next
========
Eviews shows an error: "Division by zero in ALPHA_BETA(21,2) = EQ21.@tstat(1)"
What is the problem? How can I fix it?
Thanks!
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Re: store constant and coefficient of rolling regression
Sounds like equation 21 didn't estimate properly.
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Re: store constant and coefficient of rolling regression
If I want to store p-value instead of t-stat, what code should I use?
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Re: store constant and coefficient of rolling regression
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