EViews.com

Hi,

I have been able to run a rolling regression for instrumental variable estimation using e-views 7. I need to program a loop that will estimate and store weak instrument diagnostics for each of the windows. I am able to do this when estimating a single window/regression (using the weakinst command), the difficulty is doing it in a rolling context.

Thanks for your help in advance

Have you read through the programming guide: http://forums.eviews.com/viewtopic.php?f=5&t=1638 ? It has similar examples.

Thanks!

Hi Gareth,

Thanks for for your previous help. I wanted to find out what string can be used to call cragg-donald statistics(weak instruments diagnostics f-stats) into a matrix. e.g @coefs.....coefficient vector. I have checked the object reference but i wasnt lucky.

Thanks

You have to freeze the output into a table then grab the table cell corresponding to the stat you want.

Thanks for your response. I have actually tried using the freeze command. Since It's a rolling window context, the software froze each weak instruments page as it estimated each window. When the frozen pages numbered about twenty, the computer declared that too many pages were open. If I had had to freeze over 100 windows and transfer the stat from each window into a matrix, that would prove really cumbersome. Is there any other way to do this?
Thanks

You could just delete each window after you've grabbed what you need.

Or, you could freeze into the same table each time, using the mode = overwrite option.

Thank you both for your suggestions