[Gretl-users] data mining with rolling regression and restricted coefficients

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Wed Sep 5 16:15:22 EDT 2012


On Tue, 4 Sep 2012, Allin Cottrell wrote:

> On Tue, 4 Sep 2012, Jan Tille wrote:
>
>> Thank you [Jack] for your answer and your useful comments, I see the point 
>> your are making. [...] I understand that this is quite bothering. Maybe it 
>> is not as simple as I thought or at least not as simple to implement in 
>> Gretl.
>
> I think Jack's point was the other way round: the procedure you're talking 
> could be interpreted in various ways so it's hard to know what count as 
> "right". But having decided on that, it shouldn't be difficult to implement 
> in gretl.

Exactly. Sorry if I wasn't clear.

--------------------------------------------------
  Riccardo (Jack) Lucchetti
  Dipartimento di Economia

  Università Politecnica delle Marche
  (formerly known as Università di Ancona)

  r.lucchetti at univpm.it
  http://www2.econ.univpm.it/servizi/hpp/lucchetti
--------------------------------------------------


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