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Rolling Regression

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Rolling Regression

Hi,

I would like to do a rolling regression for my historical financial data, 10 years monthly data 2005-2015, 120 obs. 4 factor regression. I only use SAS EG and there is no pre-programmed function for rolling regression. Is there anyone who knows how to code this? I would really appreciate any help.

Thanks!

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Posts: 9,878

Re: Rolling Regression

I am afraid you need to write some code .  Using  CALL EXECUTE() + a macro .

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