Run Nonlinear Rolling Regression Code Need Help
Posted: Wed Jul 20, 2011 10:17 am
I am running a complicated regression concerning ICAPM and using a MIDAS method to compute the weights to in calculating variance,the equations are attached in the word file:
The main regression is ICAPM:
Rt+1=μ+βVar(Rt+1)
and the tricky part is the way to compute Var(Rt+1)
I attached in the end.
It involves a rolling regression and I want to hold all the R-squares and find the coefficients with the highest fit.
How can I import such a complicated equation into Eviews and loop it to get the results?
Thank you guyz....
The main regression is ICAPM:
Rt+1=μ+βVar(Rt+1)
and the tricky part is the way to compute Var(Rt+1)
I attached in the end.
It involves a rolling regression and I want to hold all the R-squares and find the coefficients with the highest fit.
How can I import such a complicated equation into Eviews and loop it to get the results?
Thank you guyz....