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Hello, For an exercise i have to regress a dummy variable on a residual series to detect so called innovation outliers (IO's). The dummy variable must take the value 1 at a certain date and 0 otherwise. For example at the fourth quarter of the year 1977: equation regIOdummy series IOdummy = @recode(...

The equation member @coefs only has one "f." I'm not sure it produces a row vector.

I changed it in to @coefs. I still get a matrix with 151 rows and 2 columns with all zeros. The code simulates the data but it still doesn't give me any regression results.

So: to adjust the code i presented in my first post, here is the 'right' code (that still doesn't work). I'd like to excute a rolling regressions on time series data that i generated myself with 'ici' as time series variable (see the program code below). The coefficients that i've used to generate t...

equation rollingestimators .ls ici c ici(-1) rowplace(coefficients, rollingschatters .@coeffs,!i) Looks like you change the name of the equation. i see: i made a mistake in the translation to English so the variables in are inconsistent in the code i presented. But in the code i runned these variab...

I'd like to excute a rolling regressions on time series data that i generated myself with 'ici' as time series variable (see the program code below). The coefficients that i've used to generate the data are obtained from an earlier estimation. I'd like to store the estimated regression coefficients ...