Recursive estimation

[mwu888]

Hi,

I am struggling with doing this task in Eviews. I have an OLS equation with one independent variable (of lag 1). The sample period is from 2000M01 to 2001M12. Once I have this estimated equation, I go to View-->Stability Diagnostics-->Recursive Estimates (OLS only), I clicked on the Recursive Coefficients radio button, and checked on the box on save the output results as a series.

The output series starts on 2000M03 and ends on 2001M12.

How can I configure it so the output starts on 2002M01 and ends on 2011M08?

Thank you!

[EViews Gareth]

Estimate the original equation during those dates.

[mwu888]

Gareth,

If I have a recursive regression that estimates the following:

1) Estimate 2000M01 using observations from 1990M01 to 1999M12.

2) Estimate 2000M02 using observations from 1990M01 to 2000M01.

Follwing your logic, for 1) I would set the sample period as follows: 1990M01 to 2000M01? And 2) 1990M01 to 2000M02?

Can you confirm?

[EViews Gareth]

I don't understand what you're asking.

What does:

1) Estimate 2000M01 using observations from 1990M01 to 1999M12.

mean?

[mwu888]

I meant:

Using observations from 1990M01 to 1999M12 to estimate 2000M01(forecast). Then using observations from 1990M01 to 2000M01(actual) to estimate 2000M02.

[EViews Gareth]

That's a rolling forecast.