EViews.com

Hello,

First and foremost; if I placed my topic in the wrong section, sorry! Please be so kind to move it, if necessary :)

Currently I am doing some research and I am having troubles making eViews (7, SV) doing what I want. Let me put it very simple;
- I have data on several economic variables
- Regressing one on another gives me certain output statistics
- The coefficient of one of the variables I want to investigate further
- I want to regress in a certain period and let it shift one quarter and do the regression again until I included all data (so, starting 2001-2004, going to 2002-2005 up to 2009-2012 for example, only in my case quarterly changes)
- I want to store the coefficient of each regression in a new series, so I get a continuous series of coefficients which I can investigate further
- If possible I would like to make it such that I set the start date, the length of each period and the program to do the rest

At the moment I have absolutely no idea what to do, everything I try just gets me nowhere. What I usually think is; 'The program can do it, I just don't know how.' Hopefully this is again the case and I only need to be told how to execute such a command. Hopefully you can help me!

Kind regards,
CF4_1899

What you're describing is rolling regression. There is nothing built into EViews that will perform rolling regression. However there are add-ins and user-objects you can download to do it, or you can program it yourself. A simple search of this forum will yield many results for example programs.

However all solutions will not work in the student version of EViews, since the student version does not let you write programs, or run add-ins / user objects.

Thank you very much Gareth, I had another idea about what a rolling regression was but everything worked out fine. Also, thanks for replying very quickly

Another small question:

When i do a rolling regression starting at 1991Q1 ending 2012Q4, with window size 20 and step 1, I would think I get a coefficient stored for the period 1991Q1-1995Q4 (20 periods) in the 20th entry, namely 1995Q4. But in my case it stores the coefficient found for 1991Q1-1995Q4 in 1996Q1. This looks a bit weird and I now miss my final coefficient ending in 2012Q4, since what is the coefficient found in the period ending in 2012Q3 is put in the cell of 2012Q4 of the rolling regression output. What to do about this? Thanks!

Kind regards,
CF4_1899

Change the program so that it stores it in the correct place.

Thanks for the quick reply!

I am sorry Gareth, but I am using the add-in Roll you pointed me towards earlier, would it be better if I would ask my question in that topic? I haven't programmed anything, just worked with the add-in and it did it all for me.

Re-download the add-in.