smooth rolling regression coefficients

[shuchang]

Dear Gareth,

I got very bumpy coefficient series from rolling regressions. I learned that it is possible to smooth the estimates by fitting a kernel around the observations, giving the biggest weight to the observation in the centre and less weight to observations further away from the centre. My questions are:

1. Do you have other suggestions for smoothing the rolling estimates?
2. If the kernel is the solution, how can I do it in Eviews? I understand in Stata, you can achieve it by weighted least squares. What approach can I take in Eviews? Do you have some related sample codes?


Best,

Chang

[shuchang]

I should mention that I use Eviews 9. Chang

[mirana203]

Dear Gareth,

I got very bumpy coefficient series from rolling regressions. I learned that it is possible to smooth the estimates by fitting a kernel around the observations, giving the biggest weight to the observation in the centre and less weight to paris car service observations further away from the centre. My questions are:

1. Do you have other suggestions for smoothing the rolling estimates?
2. If the kernel is the solution, how can I do it in Eviews? I understand in Stata, you can achieve it by weighted least squares. What approach can I take in Eviews? Do you have some related sample codes?


Best,

Chang

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