[Gretl-users] Re: rolling estimation

Dear All, I am trying to write script for running OLS and then plotting the coefficients # Define your sample and dataset open capm.gdt # Replace with your dataset file # Define the rolling window size scalar window_size = 50 # Set the size of the rolling window (e.g., 60 periods) # Define the variable names series y = ERFORD # Replace with your dependent variable series x = ERSANDP # Replace with your independent variable # Initialize series to store rolling estimates series coef_x = NA # Stores coefficient for x series intercept = NA # Stores intercept (constant term) # Run rolling regression loop i = window_size .. $nobs # Loop from the end of the initial window to the last observation scalar start = i - window_size + 1 # Calculate the starting point of the window sample start i # Set the sample range for the current rolling window