2:30 p.m.
Hi,I am trying to do rolling windows regression. Does something wrong in my codes? because
this does not work and I feel I have something missing.
set verbose offsmpl 23 335series y = ols RV5_SPX const RV5_SPX(-1) HARWEEK HARMONTH
--quietscalar T = $tmax scalar t = $t2loop while t<=T -qif t<T smpl +1 +1 print y
-oendift++endloop
2:35 p.m.
Hi Burak,
try the following code:
<hansl>
set verbose off
open denmark.gdt -q
smpl 1 40
scalar T = $tmax
scalar t = $t2
scalar dT = T - t
loop i=1..dT -q
ols IBO const IDE
smpl +1 +1
endloop
print "Finished"
</hansl>
Artur
Am 08.02.20 um 15:30 schrieb Burak Korkusuz:
Hi,
I am trying to do rolling windows regression. Does something wrong in
my codes? because this does not work and I feel I have something missing.
set verbose off
smpl 23 335
series y = ols RV5_SPX const RV5_SPX(-1) HARWEEK HARMONTH --quiet
scalar T = $tmax
scalar t = $t2
loop while t<=T -q
if t<T
smpl +1 +1
print y -o
endif
t++
endloop
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2:58 p.m.
Thanks very much Artur,This works fine, but do you know how to save one-step-ahead
forecasted values as a series. I mean I need to add something between codes to save it.
On Saturday, February 8, 2020, 02:35:22 PM GMT, Artur Tarassow
<atecon(a)posteo.de> wrote:
Hi Burak,
try the following code:
<hansl>
set verbose off
open denmark.gdt -q
smpl 1 40
scalar T = $tmax
scalar t = $t2
scalar dT = T - t
loop i=1..dT -q
ols IBO const IDE
smpl +1 +1
endloop
print "Finished"
</hansl>
Artur
Am 08.02.20 um 15:30 schrieb Burak Korkusuz:
Hi,
I am trying to do rolling windows regression. Does something wrong in
my codes? because this does not work and I feel I have something missing.
set verbose off
smpl 23 335
series y = ols RV5_SPX const RV5_SPX(-1) HARWEEK HARMONTH --quiet
scalar T = $tmax
scalar t = $t2
loop while t<=T -q
if t<T
smpl +1 +1
print y -o
endif
t++
endloop
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5:17 p.m.
Am 08.02.2020 um 15:58 schrieb Burak Korkusuz:
This works fine, but do you know how to save one-step-ahead
forecasted
values as a series. I mean I need to add something between codes to save it.
Am 08.02.20 um 15:30 schrieb Burak Korkusuz:
> I am trying to do rolling windows regression. Does something
wrong in
> my codes? because this does not work and I feel I have something missing.
I answered a very similar question of yours in September. If that didn't
solve your problem, it would be better to refer to it and build on that,
instead of re-starting.
Apart from that, if you post code involving data series, then please
provide a working example with a workfile which is either automatically
available within gretl (like Artur did) or if it is not too big you can
attach it.
> set verbose off
> smpl 23 335
> series y = ols RV5_SPX const RV5_SPX(-1) HARWEEK HARMONTH --quiet
This cannot work; 'ols' is a command which has to have its own line.
cheers
sven
8:08 a.m.
set verbose off? smpl full? scalar T=$tmax? scalar t=$t2? loop i=1..1073 -qEnter commands
for loop. Type 'endloop' to get out> ols RV5_SPX const RV5_SPX(-1) HARWEEK
HARMONTH> smpl 23+i 335+i> genr s=$yhat> endloop
I need to change red expression above (genr s=$yhat), which is wrong. Actually I am trying
to save fitted values, so one-step-ahead out-of-sample forecasts of each regression. I
feel I need to add a couple of codes to circulate every single regression but i am not
sure.Thanks very much, On Saturday, February 8, 2020, 02:58:18 PM GMT, Burak Korkusuz
<burakkorkusuz(a)yahoo.com> wrote:
Thanks very much Artur,This works fine, but do you know how to save one-step-ahead
forecasted values as a series. I mean I need to add something between codes to save it.
On Saturday, February 8, 2020, 02:35:22 PM GMT, Artur Tarassow
<atecon(a)posteo.de> wrote:
Hi Burak,
try the following code:
<hansl>
set verbose off
open denmark.gdt -q
smpl 1 40
scalar T = $tmax
scalar t = $t2
scalar dT = T - t
loop i=1..dT -q
ols IBO const IDE
smpl +1 +1
endloop
print "Finished"
</hansl>
Artur
Am 08.02.20 um 15:30 schrieb Burak Korkusuz:
Hi,
I am trying to do rolling windows regression. Does something wrong in
my codes? because this does not work and I feel I have something missing.
set verbose off
smpl 23 335
series y = ols RV5_SPX const RV5_SPX(-1) HARWEEK HARMONTH --quiet
scalar T = $tmax
scalar t = $t2
loop while t<=T -q
if t<T
smpl +1 +1
print y -o
endif
t++
endloop
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1538
days inactive
1539
days old
4 comments
3 participants
participants (3)
-
Artur Tarassow -
Burak Korkusuz -
Sven Schreiber