Moving Window Regression

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kornholio
Posts: 1
Joined: Wed Feb 09, 2011 7:13 am

Moving Window Regression

Postby kornholio » Wed Feb 09, 2011 7:31 am

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 as well as the t- or p-value.
The total time-horizon is 30 years, from 1980-2010.

I have tried to modify all information I have come across without success.

Thanks for helping
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: Moving Window Regression

Postby EViews Gareth » Wed Feb 09, 2011 8:58 am

The easiest thing to do is to download the [url=http://eviews.com/cgi/ai_download.cgi?ID=Roll.aipz]Roll/url] Add-in for EViews 7.1. If that doesn't do what you want, take a look at the numerous examples on the forum, such as this one: http://forums.eviews.com/viewtopic.php?f=15&t=878
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