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- Mon Jan 27, 2020 9:11 pm
- Forum: Programming
- Topic: Rolling window estimation
- Replies: 0
- Views: 8065
Rolling window estimation
Hello, I am trying to estimate a rolling regression of the form: y = a + bxi + e, where xi = 1, 2, ..., n. The examples I came across estimate yi = a + bx + e, instead, where i = 1, 2, ..., n. My aim is to use the first half of the sample to do the in-sample rolling estimation, and the second half f...
