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The 'cproport' (as defined in the Eviews 7 help section) is what generates the cumulative proportion of eigenvalues. This is the closest I could find to what I am looking for. The first line you quoted is supposed to run the principal component analysis and generate the eigenvalues and proportion of...

Thank you Gareth. I looked it up, and also looked at the 'roll' examples you provide in the sample programs. I think it should be something like the below, however I get an error on the final command, when I try to store the output (the proportion of the first PC eigenvalues) in a vector... Can you ...

Ok great, so that answers my first question... Thank you very much. Can you kindly also explain how I should construct the loop to get a weekly rolling eigenvalue proportion of 2-year window?

Hi, I would like to run a rolling PCA of weekly returns of a basket of risky assets. To understand the evolution over time of the co-movement of the different assets in the basket, what I need as output is a time series of the proportion of the eigenvalue of the 1st principal component from each 2-y...