[Gretl-users] Re: Rolling OLS example

On 11/05/2025 20:43, Theodoros Panagiotidis wrote: > Dear All, > > You might find the attached script useful for teaching purposes. > > It runs a simple CAPM with a January dummy variable and plots the > rolling coefficients and the rolling R^2. > > Credit to Michalis Tsachakis for this. Thanks, this is really very nice. Kudos to you! I'm attaching a slightly revised version of the part of the script where the plots are produced, that uses the "overlapping bands" syntax, which is IMO a bit nicer. ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------_______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/