[Gretl-users] Rolling OLS example
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.
regards
Theo
--
Theodore Panagiotidis
University of Macedonia
Thessaloniki, Greece
& Research Associate HO, LSE <https://www.lse.ac.uk/Hellenic-Observatory>
Linkedin <https://www.linkedin.com/in/theodore-panagiotidis-1371b3169/>
GooglePage
<https://sites.google.com/view/prof-theodore-panagiotidis/bio?authuser=0>
Attachments:
- attachment.htm (text/html — 1.9 KB)
- capm_microsoft_data.gdt (application/x-gretldata — 57.4 KB)
- rolling_script.inp (application/x-gretlscript — 7.7 KB)