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- Wed Feb 09, 2011 7:31 am
- Forum: Estimation
- Topic: Moving Window Regression
- Replies: 1
- Views: 3607
Moving Window Regression
Hello. I am wondering if anyone can help me with a moving window regression. I want to regress weekly changes in exchange rates to returns on sectors. I want the windows to have size of 52 weeks and I want them to move one week at a time. Furthermore I want to store the coefficient of exchange rates...