rolling windows codes
by Burak Korkusuz
Hi,I am trying to do rolling windows regression. Does something wrong in my codes? because this does not work and I feel I have something missing.
set verbose offsmpl 23 335series y = ols RV5_SPX const RV5_SPX(-1) HARWEEK HARMONTH --quietscalar T = $tmax scalar t = $t2loop while t<=T -qif t<T smpl +1 +1 print y -oendift++endloop
5 years, 1 month
warning: VAR std errors in snapshots!
by Allin Cottrell
Sorry to say, the standard errors reported for VAR coefficients got
seriously out of whack as a result of some changes made to gretl's
internal SVD code in late December/early January (and not sufficiently
tested at the time).
This problem was not present in the 2019d release, and it's now fixed
in git and snapshots. We strongly recommend anyone using a recent
snapshot, or building gretl from the git sources, and interested in
estimating VARs to update.
Allin Cottrell
5 years, 1 month
Re: Problems with the command log option
by Allin Cottrell
On Sun, 2 Feb 2020, JUAN-ANGEL JIMENEZ-MARTIN wrote:
> I cannot open the "command log" option under the Tools menu. It seems that
> GRETL does not find the session.inp file. I got the error [...]
Please tell us what version of gretl you're running (you can find
that under /Help/About gretl). It may also be helpful to know what
your Windows username is. (The name of directory in which the
command log should be found starts with "\users\<username>".)
Allin Cottrell
5 years, 2 months
