Roll (Rolling Regression)

EViews Gareth · Postby **EViews Gareth** » Mon Apr 05, 2010 1:42 pm

This thread is about the Roll Add-in that performs rolling regression from a single equation object, letting you store various coefficient or equation statistics from each iteration of the roll.

Change log

2010/02/10 - Initial release
2010/04/19 - Fix for a bug whereby stored coefficients/statistics were being stored at the wrong dates if the start point of the roll was not the first observation in the workfile
2011/08/22 - Added an error message for panel workfiles (which are not supported)
2012/04/11 - Command options are added

EViews Gareth · Postby **EViews Gareth** » Mon Apr 19, 2010 10:40 am

New update for sample issues.

Silvana · Postby **Silvana** » Mon Jun 13, 2011 8:58 am

Hello I'm new to the forum. I tried to run rolling regression install.prg but got an error. I'm running Eviews 6

Silvana · Postby **Silvana** » Mon Jun 13, 2011 8:59 am

Thanks

EViews Gareth · Postby **EViews Gareth** » Mon Jun 13, 2011 9:06 am

EViews Addins require EViews 7.

Silvana · Postby **Silvana** » Mon Jun 13, 2011 11:14 am

Darn! does anyone have the code for 6? Silvana

EViews Gareth · Postby **EViews Gareth** » Mon Jun 13, 2011 11:25 am

http://forums.eviews.com/viewtopic.php?f=15&t=878

Silvana · Postby **Silvana** » Mon Jun 13, 2011 11:34 am

I'll check it out. Thanks for speedy response.

hraouf · Postby **hraouf** » Mon Jul 04, 2011 1:30 am

Hello
I am running eviews 7.1 and am trying to run a rolling regression using the simple roll add-in. The columns have 6080 rows and each 40 rows is for a certain group, so I need to do a regression for each 40 rows. When i run the first set of rows the regression works fine however I then go to add ins, use a window size of 40 and a step size of 40 and a get perfect multi colliniarity warnings (even though the equation is designed to prevent this) and meaningless coefficient output files with 6080 rows. What am I doing wrong? not least what is the sample size I need to enter into the equation box (e.g. to do the first set of rows I entered 1 40)
I have enclosed the output from my first run in case it sheds some light
Many thanks
Sam

EViews Gareth · Postby **EViews Gareth** » Mon Jul 04, 2011 9:36 am

The sample box is used to indicate the entire sample that will be used, not the sample for the first roll.

victor2 · Postby **victor2** » Wed Jul 20, 2011 9:26 am

how do I use the add-in once I have installed it?

EViews Gareth · Postby **EViews Gareth** » Wed Jul 20, 2011 9:38 am

Open an equation, click on the Add-in menu and select it.

mwu888 · Postby **mwu888** » Wed Jul 27, 2011 10:29 am

Hi,

Can anyone show me sample codes for using the rolling coefficients(obtained from using the Rolling Regression Add-In in Eviews 7.2) to forecast the dependent variable?

Thank you!!!

EViews Gareth · Postby **EViews Gareth** » Wed Jul 27, 2011 10:36 am

Assuming you have a simple linear regression, you'll have to write out the algebra in a series expression manually. Something like:

Code: Select all


series fcast = coef1 + coef2*x1 + coef3*x2

fariz888 · Postby **fariz888** » Thu Aug 11, 2011 4:07 am

Hi guys,

How to see stored coefficient after running roll add in? (in a table or matrix form)

thanks in advance

EViews.com