Re: [Gretl-users] LAD rolling regression
I must admit that replacing
lad y const x
for
quantreg 0.5 y const x
works like a charm!
The script is slower than when using OLS but manageable for an execution
of 2 million regressions!
Thanks
--
Filipe Rodrigues da Costa
Send me an email to: filipe(a)pobox.io
Reach me through Telegram at: https://t.me/rodriguesdacosta
Additional thought: you might try replacing lad y const x with
quantreg 0.5 y const x That should probably be faster for large
data. Allin
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