Dear All, You might find the attached script useful for teaching purposes.
It runs a simple CAPM with a January dummy variable and plots the rolling coefficients and the rolling R^2. Credit to Michalis Tsachakis for this. regards Theo -- Theodore Panagiotidis University of Macedonia Thessaloniki, Greece & Research Associate HO, LSE <https://www.lse.ac.uk/Hellenic-Observatory> Linkedin <https://www.linkedin.com/in/theodore-panagiotidis-1371b3169/> GooglePage <https://sites.google.com/view/prof-theodore-panagiotidis/bio?authuser=0>
capm_microsoft_data.gdt
Description: application/gretldata
rolling_script.inp
Description: application/gretlscript
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