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calculation of beta's of a multiple regression (rolling window)

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    calculation of beta's of a multiple regression (rolling window)

    Hi everybody,

    I have to calculate the intercept and beta's of a multipe regression.
    The problem is that it should be in this way that e.g. intercept is in 1 particular cel, beta 1 in another particular cel, ect.
    The reason that it should be in this way is because I work with a rolling window method, so every month I should estimate the intercept and beta's.
    With the help of a small excel-file it will certainly become clear what I mean. Hopefully it is possible to do so.

    Many thanks for your help,
    Mathieu

    Multiple regression.xlsx

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    Re: calculation of beta's of a multiple regression (rolling window)

    If something is not clear feel free to message me back

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    Valued Forum Contributor Charles's Avatar
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    Re: calculation of beta's of a multiple regression (rolling window)

    mathieuv,

    Welcome to the forum. Please read the Forum Rules about cross posting.
    http://www.excelkey.com/forum/viewtopic.php?f=2&t=757

    http://www.mrexcel.com/forum/showthread.php?t=622170
    Charles

    There are other ways to do this, this is but 1 !
    Be Sure you thank those who helped.
    IF YOU'RE SATISFIED BY ANY MEMBERS RESPONSE TO YOUR ISSUE PLEASE USE THE STAR ICON AT THE BOTTOM LEFT OF THE POST UNDER THEIR NAME.

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    Re: calculation of beta's of a multiple regression (rolling window)

    Quote Originally Posted by Charles View Post
    mathieuv,

    Welcome to the forum. Please read the Forum Rules about cross posting.
    http://www.excelkey.com/forum/viewtopic.php?f=2&t=757

    http://www.mrexcel.com/forum/showthread.php?t=622170
    Sorry for this. I will let you know for sure if the problem is solved on another forum.

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    Forum Expert shg's Avatar
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    Re: calculation of beta's of a multiple regression (rolling window)

    Select J12:O12. in the formula bar, paste

    =LINEST(B2:B12, C2:G12)

    Don't press Enter; instead, press and hold the Ctrl and Shift keys, then press Enter,

    Copy down.

    Note the order of the coefficients

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    Entia non sunt multiplicanda sine necessitate

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    Thumbs up Re: calculation of beta's of a multiple regression (rolling window)

    many thanks for your help

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