This paper is aimed at suggesting an alternative approach to a rolling window Linear Regression. Typically, while doing time series regressions, running an ordinary least square regression is too restrictive. This can happen if we believe that over time our regression coefficients change due to...

As practitioners, we are not aware of the models that construct the datasets we study. We often rely on intuition to determine which model to choose. This white-paper takes a look at a penitential pitfall: What happens when we use a different model from the actual model generation process?