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Hello All-

I have estimated a quarterly VAR for 1948:1-2012:4. I would like to run a rolling regression for each of the VAR equations, i.e. from 1947:1-1977:1, 1947:2-1977:2...all the way through the end of the sample. I want to look at the p values of each of the coefficients and check for their stability over the sample period.

Is there a command that will allow me to perform the rolling VAR or do I need to specify this with code?

Many thanks for your help!

You'll have to write it yourself in a loop. There are tons of examples on the forum of running rolling estimation.

Thanks-found the add-in for rolling regression.
I would like to test the stability of the parameters, jointly, in a rolling regression-though only see the p values for individual coefficients when I do the roll. Have not been able to find anything on the forum relating to this. Is this something I can add in or write in program? Where is the best place to look for this.
Thanks.

How did you want to test for the stability of the parameters?

For stability of the parameters I would like to use either of the Quandt-Andrews or Chow Breakpoint...
In addition, I would really like to see a rolling Wald-test for the joint hypothesis that all lagged prices in my equation jointly=0

At each stage of the roll, perform the test you want, freeze the output into a table, then grab the values you're interested in from that table.

http://forums.eviews.com/viewtopic.php?f=5&t=18