RollingOLS prediction

Python Help
1

I am trying to use a Rolling OLS to predict y. I have the following code and outcome, but I do not understand the ‘end’ and ‘subperiod’. Which am I to compare to the actual y in order to get the MSE?

Further, the length of the output is 8570, whereas the length of the actual y is 1763.

Code

rolling = ols.PandasRollingOLS(y=y, x=X, window=50)
y_pred = rolling.predicted
y_pred

Output:

end   subperiod
4     0             85.013903
      1             85.904752
      2             85.979983
      3             86.698113
      4             86.797877
                      ...    
1762  1758         718.120178
      1759         717.725245
      1760         715.356422
      1761         705.343367
      1762         694.298419
Name: predicted, Length: 85700, dtype: float64
3

What’s OLS? What’s MSE?

Have you read the documentation for ols.PandasRollingOLS? What does it
say?

4

I am using pyfinance

5

Ordinary Least Squares and Mean Squared Error, respectively