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2011 Oct 03
2
rolling regression
Dear all,
I have spent the last few days on a seemingly simple and previously documented rolling regression.
I have a 60 year data set organized in a ts matrix.
The matrix has 5 columns; cash_ret, epy1, ism1, spread1, unemp1
I have been able to come up with the following based on previous help threads. It seems to work fine.
The trouble is I get regression coefficients but need the immediate