Hi all,

In application of linear regression to financial time series, we always
have a parameter which is the window size.

It's clear that a lot of results are sensitive to this parameter...

Is there a way to make this parameter dynamic, or are there statistical
procedures to select such parameter dynamically and/or "optimally"?

>From a trading strategy perspective, is there a way to make this parameter
dynamically chosen?

Thanks a lot!

	[[alternative HTML version deleted]]

