Recursive Least Squares in Panel Structure Possible?

[johnsirius]

Dear Eviews gurus,

I understand that the recursive least squares can be easily done in Eviews when estimating OLS type of regression. However, the rls command is not supported under a panel structure. Is there a way to get the rls command working under the panel structure where the equation to be estimated is explicitly spelled out which is not the dependent variable followed by a list of regressors (i.e. y c x1 x2 ...etc.).

I've been doing this manually for a while, it just takes too much time repeating the same job over and over and over again :?. I'm currently on Eviews 7.1.

Question: Is recursive least squares estimation possible under panel data structure? Please advise.

Thanks a lot in advance!

John

[EViews Gareth]

There is nothing built in.

If you are able to do it manually, it might be worth writing a program that will do it for you, then you just need to run the program whenever you wish to perform RLS in a panel.