Re: [Gretl-users] Rolling OLS

It seems to work well! After making all arrangements, my code looks like that: smpl roll_firstobs roll_firstobs+roll_window_int loop j = roll_firstobs + roll_window_int .. roll_firstobs + roll_window_int + roll_nr loop foreach i excshare string temp=sprintf("beta%d",i) if sum(missing(excshare.$i)) # This avoids calculating betas when not all data points are available loop m = $t2 .. roll_lastobs series @temp[m] = NA endloop else ols excshare.$i const excindex@ind loop m = $t2 .. roll_lastobs if ok(excshare.$i[m])==0 # This avoids having betas for dead periods series @temp[m] = NA else series @temp[m] = $coeff[2] endif endloop endif endloop if j<roll_firstobs + roll_window_int + roll_nr smpl +roll_step +roll_step endif endloop This rolling regression works really well. It loops into a list of excess returns and computes sequential OLS, keeping the main coefficient (which is beta) in a series for each stock. The only problem I still have is on the time taken when the list of stocks is large... -- Filipe Rodrigues da Costa Send me an email to: filipe(a)pobox.io Reach me through Telegram at: https://t.me/rodriguesdacosta On Fri, 27 Oct 2017, at 12:34, Sven Schreiber wrote: