Rolling Regression with statsmodel

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Rolling OLS applies OLS across a fixed windows of observations and then rolls (moves or slides) the window across the data set. They key parameter is window which determines the number of observations used in each OLS regression. By default, RollingOLS drops missing values in the window and so will estimate the model using the available data points.

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Hi - thank you for the great explanation! I was wondering, when you do the visualizations, your x-axis doesn't show the index, but years. How did you get there?

mariejungmann
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Hi, can we estimate panel model with fixed effects or a GARCH switching Markov model in Python?

tsatsoulisgeorge