Rolling Regression — statsmodels
www.statsmodels.org › dev › examplesRolling Regression. 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 ...
python - Pandas ols MovingOLS - Stack Overflow
stackoverflow.com › questions › 40671848Nov 18, 2016 · I have a question relative to the property of pd.stats.ols.MovingOLS. When I try to do moving window OLS regression with the MovingOLS function, I do not have my expected result. I set a min_periods = 2 and a window = 4 for this function. I realize that the OLS does not do the job when the window-end element is missing, even though the total ...