Rolling Wald Test

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Rolling Wald Test

Postby george_B » Sun Oct 26, 2008 3:34 am


I am trying to do some rolling wald tests. I have the following program which allows me to retrieve the rolling coefficients but I do not know how to run and retrieve the rolling wald tests/statistics. Can you help? Thanks

' set window size
!window = 100
' get size of workfile
!length = @obsrange

equation eq1

' declare matrix to store results
matrix(!length-!window+1,1) movcoef

' compute stats for each window
for !i = 1 to !length-!window+1
smpl @first+!i-1 @first+!i+!window-2 Y c X
movcoef(!i,1) = @coefs(1)

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Re: Rolling Wald Test

Postby EViews Gareth » Sun Oct 26, 2008 8:00 am


Please see the post in this thread:

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