Hello, guys.
I am used to estimating betas/R2s in rolling windows and I wonder if there is any way I can do that with factor analysis: a 6-month rolling uniqueness and first factor, for example.
Haven't found this anywhere here...
Thank you so much,
Search found 1 match
- Thu Apr 02, 2015 1:51 pm
- Forum: Programming
- Topic: Rolling Uniqueness and Factors
- Replies: 0
- Views: 1521