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Is dropping one of the regressors the only option? Notice that for model1, the rolling regression runs a number 30odd iterations and on the 31st gives the error. I don't get this error message when I run it on the entire sample, just over a fixed period window.

Attached is the EViews workfile and the rolling regression programs for the two equations in the workfile. You'll see that in both models, once you start running the rolling regression program, you get the message "Near singular matrix error. Regressors may be perfectly collinear." I'm not...

Thank you. I added the below and it works fine ' estimate equation eq01.ls log(y) c log(x) log(y) Do you really want to be regressing log(y) on log(y)? That's a typo in the example - its log(z) or any other variable. A lot of other equations give me the same error message. "Near singular matri...

Sorry, don't follow. Can you please show an example? "You can grab the command string of the existing equation (equation.@command) and use that to re-estimate it as is." I also tend to get this error message quite often when I run the regression: "Near singular matrix error. Regressor...

Given that I already have eq01 in the workfile, is there a way for me to reference the equation in the workfile instead of manually inputting the entire equation in the program? I also have a matrix with 3 columns and would like to store regression coefficients in the columns (instead of rows that a...

Thank you. I added the below and it works fine

' estimate equation
eq01.ls log(y) c log(x) log(y)

Question: Given that I already have eq01 in the workfile, is there a way for me to reference the equation in the workfile instead of manually inputting the entire equation in the program?

I'm trying to run a rolling multiple regression for 52 weeks for the last 10 years. I've looked up the forum and was able to put together a code to generate and store the rolling r2. However, my r2 vector is giving me the same r2 at every point in time. The code is below - can you please suggest any...

That worked, thank you.

meaning !cumpc needs to be stored in the vector evalpc1? Can't seem to get the data stored in evalpc1

Thank you. That seemed to work. However, I'm getting all zeros. The entire code is below: can you suggest any changes? ' set window size !window = 104 ' set step size !step = 1 ' get size of workfile !length = @obsrange 'calculate number of rolls !nrolls = @floor((!length-!window)/!step) 'vector to ...

I get the same error message - Gareth, any suggestions?

I have run single variable least square regression across a number of different securities. I would now like to create a score to rank the regression results. I am using three outputs from the regression as my ranking criteria: 1) R Squared, 2) Beta, 3) P-Value of Beta. So subjectively, a security w...