A common assumption of time series analysis is that the model parameters are time-invariant. However, as the economic environment often changes, it may be reasonable to examine whether the model parameters are also constant over time. One technique to assess the constancy of the model parameters is to compute the parameter estimates over a rolling window with a fixed sample size through the entire sample. If the parameters are truly constant over the entire sample, then the rolling estimates over the rolling windows will not change much. If the parameters change at some point in the sample, then the rolling estimates will show how the estimates have changed over time.
EViews does not have an extensive rolling regression functionality built-in, but it does offer different ways to perform rolling regressions:
- Write an EViews program: we can estimate an equation for each sample in the roll, and then save the results. The following EViews forum posts provided detailed examples.
|You can also find more detailed examples of rolling regression under your Help menu in EViews. Go to: Help/Quick Reference/Sample Programs & Data/ then click the roll link for detailed examples.
- The "Roll" Add-In is a simple EViews program that is integrated into EViews, allowing you to execute the rolling regression program from a single equation object.
- Use the EViews rolling regression User Object: EViews allows us to create a new roll object and store various coefficients or statistics from each iteration of the roll.
Download and Install Roll User Object
To download and install the object class definitions from the EViews website, go to EViews file menu and select Add-ins/Download User Objects, and select the Roll user object from the list box. Click on the Install button to download the Roll user object.
.Once we have registered the roll user object, we can think of it as a built-in EViews object. More information about registering user objects can be found at our online help site.
Rolling Regression User Object Applied Example
In the following example, we will use the EViews workfile “Demo.wf1” that was saved to your computer when EViews was installed. The file can be found on your hard drive at: \EViews 9\Example Files\EV9 Manual Data\Chapter 02 - A Demonstration.
Since we will use the existing equation EQ01 in our workfile, click OK to accept the default. Then, we will see the next dialog which asks us to select the type of rolling regression:
Fixed window: the window size specifies the fixed number of observation in each window and the step size specifies how far ahead the window is moved each time:
Click on Proc/Extract rolling coefficient statistics, this will allows users to save various coefficients or statistics from each iteration of the roll.