Re: [Gretl-users] Rolling parameter estimate
On Wed, 25 May 2011, artur tarassow wrote:
Hi,
A forward recursive estimation would look like this:
[...]
Very nice. A little variation on the same theme:
<script>
open denmark.gdt
genr scalar p = 1
genr scalar q = 1
smpl 1974:1 1981:4
series b1 = NA
series b2 = NA
series b3 = NA
loop for i=1982:1..1987:3 --quiet
catch arima p 0 q ; IBO --quiet
err = $error
if !err
loop for j=1..3 --quiet
b$j[$i] = $coeff[j]
end loop
endif
smpl ; i
endloop
smpl full
gnuplot b1 b2 b3 --time-series --with-lines --output=display
</script>
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti