Create a vector which lists p-values from rolling regrssion
Posted: Sun Jan 10, 2010 9:28 am
Hi,
When I conduct a rolling regression, I use the following command to to obtain the output, in addition to 2 vectors which contain the t-statistics and the beta (regression) co-efficients from each regression:
However, I also want to create a similar vector which reports the p-values associated with the (respective) t-statistics from each regression. How can I go about doing the above?
When I conduct a rolling regression, I use the following command to to obtain the output, in addition to 2 vectors which contain the t-statistics and the beta (regression) co-efficients from each regression:
Code: Select all
for !horizon=1 to 155
smpl 1992m12+!horizon 1995m05+!horizon
equation output{!horizon}.arch(1,1) y c x
matrix output_coeff{!horizon}=output{!horizon}.@coefs
matrix output_tstats{!horizon}=output{!horizon}.@tstats