want to do 'rolling regression' and 'out-of-sample prediction'. how can i do that?

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I have 100period time series data and want to do 'rolling regression' from t1~t50. After that, by doing 'out of sample prediction', using the estimates, want to compare them with raw data.(from t51~t100)
I tried to do 'rolling regression' but don't know how to pick the range. Also please let me know the code of 'out of sample prediction'
thanx

Answers (1)

Sreeja Banerjee
Sreeja Banerjee on 8 Jun 2015
Hi Nayeon,
From your question it looks like you want to be able to perform a rolling-Window analysis for checking the stability for your time series model. I am assuming that you have the MATLAB Econometrics Toolbox. Based on this assumption, I wanted to point you to some documentation that illustrates how you can do this:
3. Econometrics Toolbox Documentation: http://www.mathworks.com/help/econ/index.html

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