Graph of Rolling Regression Estimates

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Luckyboy
Posts: 15
Joined: Mon Apr 05, 2010 10:38 pm

Graph of Rolling Regression Estimates

Unread post by Luckyboy »

Hi,
I performed a rolling regression of the form:
compute start = 1970:1, end = 1985:4
do i=0,96
linreg lexp start+i end+i
# constant ltwm lrp lexp{1}
end
Can someone please tell me how to graph the Betas in the rolling regression..
I want to generate a graph like the one in the paper below:
"Kalman filter approach to estimate demand for international reserve"
Mohsen Bahmani-Oskooee and Ford Brown; Applied Economics, 2004, 36,1655-1668.
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Graph of Rolling Regression Estimates

Unread post by TomDoan »

You can save them as is shown at the top of page 306 in the v7 User's Guide. Then just graph the coef1 series, or whichever ones you want.
Luckyboy
Posts: 15
Joined: Mon Apr 05, 2010 10:38 pm

Re: Graph of Rolling Regression Estimates

Unread post by Luckyboy »

Hi Tom,
Thanks very much..
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