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- Tue Apr 04, 2017 8:32 pm
- Forum: Econometric Discussions
- Topic: smooth rolling regression coefficients
- Replies: 2
- Views: 4746
Re: smooth rolling regression coefficients
Dear Gareth, I got very bumpy coefficient series from rolling regressions. I learned that it is possible to smooth the estimates by fitting a kernel around the observations, giving the biggest weight to the observation in the centre and less weight to paris car service observations further away fro...