Re: [Gretl-users] LAD rolling regression
On Mon, 11 Dec 2017, Allin Cottrell wrote:
I tried modifying your example above, replacing
open data9-13.gdt
list returns = *ret
with
nulldata 1000
list returns
loop i=1..50
returns += genseries(sprintf("x%dret", i), normal())
endloop
series sp500 = normal()
but leaving the rest unchanged. So that's 1000 observations on 50
returns and the script still ran OK. Roughly what are the actual
dimensions of your data?
Ah, silly me. Cranking up the overall sample length and the number of
returns will each just scale the time taken linearly. What might
really matter for lad is the number of observations used in each
regression (the "size" variable in your script).
I suspect if your real "size" value is quite large lad may be bogging
down, and in that case quantreg may do better.
Allin