Re: [Gretl-users] LAD rolling regression

Ok, here it goes: ------------------------------------------- open data9-13.gdt list returns = *ret # set some parameters for the rolling regression scalar step = 1 # regression step scalar size = 12 # regression size scalar rolls = floor(($nobs - size + 1) / step) #number of rolls scalar firstobs = $t1 # generate empty beta series loop foreach i returns series beta$i = NA endloop # set the initial sample smpl firstobs firstobs+size-1 loop r = 1 .. rolls loop foreach i returns if sum(missing(returns.$i)) == 0 lad returns.$i const sp500 series beta$i[$t2] = $coeff[2] endif endloop if r<rolls smpl +step +step endif endloop smpl --full --------------------------------------------------------- In the example both OLS and LAD seem to work well. The problem is that with my large data files, LAD doesn't work. -- Filipe Rodrigues da Costa Send me an email to: filipe(a)pobox.io Reach me through Telegram at: https://t.me/rodriguesdacosta On Mon, 11 Dec 2017, at 16:36, Artur Tarassow wrote: