Re: [Gretl-users] LAD rolling regression
Am 11.12.2017 um 17:21 schrieb Filipe Rodrigues da Costa:
Hi all,
I'm trying to implement a rolling regression using the following
specification:
loop r = 1 .. rolls
loop foreach i share
if sum(missing(share.$i)) == 0
lad share.$i const index
series beta.$i[$t2] = $coeff[2]
endif
endloop
if r<rolls
smpl +step +step
endif
endloop
Hi Filipe, would be good if you could send a complete example script
using some dataset which is available to all.
Thanks,
Artur