Roll (Rolling Regression)

[EViews Gareth]

Hard to know.

Don't include the constant term.

[tariqaziz]

I have added code in the program to save the S.E. of regression also in the results output. Its working fine.

[kkalev]

Hello. Running Eviews 9

I believe there is a small bug in the Advanced Rolling Regression with Anchored Start. When the sample is different from the full sample the plug-in will still store estimated coefficients (and other elements) as if the starting point was the first observation in the workfile. I think that the following fix is necessary in advroll.prg at line 268 and after:

Code: Select all

if !windowtype=2 then %last = @otod(@dtoo(%start)+!i-1) smpl {%start} {%last} !k= !i

becomes

Code: Select all

if !windowtype=2 then %last = @otod(@dtoo(%start)+!i-1) smpl {%start} {%last} !k= @dtoo(%start)+!i-1

Thanks a lot!

[EViews Gareth]

Updated.

[Janys]

I'm trying to get the confidence interval in the rolling coefficient graph (and other graphs as well). Does anyone know how to get it? I able to get it with an older version (I guess). But it seems like I couldn't get the confidence interval anymore after I switched to Eviews 9 and re-downloaded the addins. Would greatly appreciate for your help!

[bhavesh]

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

Hi. Can the rolling regression be applied to ARDL bound testing approach (or any other cointegration approaches) in EViews? Eagerly waiting for your response.

[enricodace]

which methods is suitable to detect multicollinearity under rolling regression? Nither VIF nor correlation plot isn't working for rollings. Any idea please?

[enricodace]

Dear Gareth,
I have downloaded a rolling add_in.
I did it, it seems working but when i checking results the rolling estimate is just an exact copy of the one with out rolling? what could be the problem and why?

[FraFeMan]

Dear Gareth,

Could you please confirm that the version of the add-in "roll" on the website is actually the most updated version, as it is dated 2010?

Many thanks and kind regards,

Francesco

[EViews Gareth]

It is.

[FraFeMan]

Many thanks Gareth.

I run the roll add-in on a single OLS equation with monthly data from 1998m01 to 2014m09, i.e. y=c(1) + c(2)*x + c(3)*z + e, on a window of 36 observations and with 1-step size. Therefore I was expecting the first value of the parameters' estimates, e.g. c(1)_hat, c(2)_hat and so on, to be reported on 2001m01, but instead they are reported on 2000m12, which I believe is incorrect.

Could you please let me know if this is correct and a deliberate coding decision, or I need to fix it in the code (if so, grateful if you could assist me).

Many thanks and regards,

Francesco

[EViews Gareth]

If your window size is 36, the first regression will run from 1998m1 to 2000m12 (36month), and will thus report its results in the last observation, which is 2000m12.

[FraFeMan]

Many thanks Gareth for the helpful clarification!
Kind regards,
Francesco