taking coefficients out of a rolling regression

[abdullah]

Hi,
I am new to this forum and to the RATS. So, I did not know where to put my question exactly. Here it is:
This is the rolling regression down that I have:
compute start = 1971:1, end = 1980:1
do i=1,40
linreg DLOGVALUE start+i end+i
# constant DLOGVALUE{1}
end
I have to get coefficients out of this rolling regression and make a table consisting of them. Could you please help me on how to do this?

Thanks in advance,
Abdullah.

[TomDoan]

The easiest way to do that is by using the ROLLREG procedure, which is described in section 11.2 of the RATS v8 User's Guide and posted on the forum at http://www.estima.com/forum/viewtopic.php?f=7&t=741 (and is also on the RATS distribution).

Code: Select all

@rollreg(move=your window size,cohistory=coeffs) dlogvalue 1971:1 (1980:1)+40
# constant dlogvalue{1}
print / coeffs

[abdullah]

It helped a lot. Thank you so much Tom.