Using a FOR loop to select different-sized daily samples
Posted: Mon Nov 08, 2010 6:20 pm
Hi,
I'm a beginner with EViews. I'm estimating a VAR model on stock data in transaction time. I wish to estimate the VAR model for each day in a three-year sample period. However the daily samples vary in size. A simple FOR loop using steps of 1 day does not work due to the presence of non-trading days (mainly week-ends). I presume there is an obvious solution to this situation. Any suggestions would be appreciated. :D
I'm a beginner with EViews. I'm estimating a VAR model on stock data in transaction time. I wish to estimate the VAR model for each day in a three-year sample period. However the daily samples vary in size. A simple FOR loop using steps of 1 day does not work due to the presence of non-trading days (mainly week-ends). I presume there is an obvious solution to this situation. Any suggestions would be appreciated. :D