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Hi Gareth,
I have successfully done a rolling general method of moment(gmm) estimation. I have observed that there is a multicollinearity in my data. I would like to go for a ridge regression. I have downloaded the add_in and follow the steps below.
-) Click 'new object' and go through to have a 'ridge regression' but what i have got is almost empty. Please see below the pics. i labled 1,2,3 to show the steps.

May i have something a guide, to do this regression type since i couldn't find it on the documentations or user guide?

Thank you.
enrico

The Ridge add-in doesn't support rolling.

Even without a rolling, it is not working.
With codes, does the ridge works?
One more to ask is, Does the principal component analysis works for rolling?
If not, under rolling basis what do you recomment inorder to deal with a multicollinearity?