smooth rolling regression coefficients
Posted: Wed Feb 08, 2017 2:24 pm
Dear Sir/Madam,
I got bumpy coefficient series when I run rolling regressions (a fixed effect model in a pool object). I learn that it can be smoothed by fitting a kernel around the centre of the observations, giving the observations in the centre the biggest weight, and less weight to the observations further away from the central observations. People I know have coded this in Stata.
My questions are: Can this be achieved in Eviews? Are there alternative ways of smoothing rolling regression coefficient series?
Best,
Chang
I got bumpy coefficient series when I run rolling regressions (a fixed effect model in a pool object). I learn that it can be smoothed by fitting a kernel around the centre of the observations, giving the observations in the centre the biggest weight, and less weight to the observations further away from the central observations. People I know have coded this in Stata.
My questions are: Can this be achieved in Eviews? Are there alternative ways of smoothing rolling regression coefficient series?
Best,
Chang