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If I had to bet, there's a variable that has zero variance [edit] or, as Gareth tells me, has NAs for one of the subsamples. Changing the sample range fixed the error message... but i'm still getting +ve and -ve values in pc1 series. Is the command below the wrong one to use for extracting the firs...

Hi Glenn/Gareth, any idea what's wrong with the program please? I still can't figure it out. Thanks!

Bumped... any idea what went wrong with the program? Thanks!

You might want to post your data too.

Hi Gareth, data file is attached. All data in daily pct change. Thanks!

In principle there's nothing different about this calculation from the other rolling regression examples in the examples directory. The only difference is that you'll be grabbing the total variance rather than, say, coefficients. So you should take a look at the programming examples. But you are co...

Hi all, i'm currently using roll add-in for rolling regressions since i know little about eviews programming. The challenge for me is to do the same for PCA, which unfortunately there's no add-ins available currently. * Objective: generate time series of proportion of total variance accounted for by...