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That´s my code 'run rolling regression ' set window size !window = 3750 ' set step size !step = 1 ' get size of workfile !length = @obsrange ' declare equation for estimation equation eq01 'calculate number of rolls !nrolls = @ceiling((!length-!window)/!step) 'matrix to store coefficient estimates m...

It is like this?

´ estimate equation
smpl s0 @first @first+1
smpl s1 @first+2 @last
smpl @all

Because doesn´t works

Thank you for your soon answer!!! I understand the fail, but how can I do to solve this? Cause I make in:

´ estimate equation
sample s0 @first @first+1
sample s1 @first+2 @last
smpl @all

And the program displays "s0 already exists...."

Hi to everybody I´m proving to make a rolling window with a realized GARCH of Hansen. I need to evaluate the model and estimate in sample and out of sample a parametric Value at Risk. Well, I attach the code and the file and the problem is about the matrix "coefmat" that shows the same val...

Hi to everybody I´m proving to make a rolling window with a realized GARCH of Hansen. I need to evaluate the model and estimate in sample and out of sample a parametric Value at Risk. Well, I attach the code and file here but the problem is about the matrix coefmat that shows the same values of each...