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From |
Cameron Hooper <chooper@umich.edu> |

To |
Stata List <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: re: rollreg2 |

Date |
Mon, 18 Apr 2005 17:40:05 -0400 |

Hi Kit Thanks for having a look at my problem. I hope you don't mind my taking sections from your -rollreg- routine for use in -rollreg2-. I'm still in the learning by imitation stage! > You're creating a very large number of new variables stub_v, stub_se, > stub_cons, ... and eventually you fill up memory doing so. I'm not sure I follow this. I believe I am making a total of (k+1)*2 + 4 new variables where k is the number of independent variables. Michael Blasnik pointed out the problem caused by -tempvar- where I was creating a new variable on each call to -predict-. But I don't see how I am making multiple variable from stub_`v', etc. > I have not seriously considered whether my -rollreg- needs the 'no > gaps' limitation that is imposed by many Stata time series commands. I > will try to look at that. I can't speak for everyone, but for users of financial data such as prices, volumes, and financial statement data, the lifting of such a restriction would be very helpful. There a numerous cases where there exists 15+ years of daily price data with only a handful of missing daily prices. > But even if it was relaxed, my routine would > run into the same problem as yours. Say that you have 1000 firms and 20 > years per firm; then it will try to create several thousand new > variables, each with 20 obs. I am clearly missing something here. Dropping -tempvar- seemed to fix at least part of my problem. Again, I don't see where multiple copies of the new variables are being created. To tried to understand this problem I modified -rollreg2- to keep track of the number of variables in the dataset. The number appears stable. Here is a copy of the routine (Sorry it is ugly as I have spent all weekend debugging it). The key addition follows the call to -predict-. Thanks again for your help. Cameron capture program drop rollreg2 program rollreg2 , byable(onecall) version 8.2 syntax varlist(min=2), MOVE(integer) STUB(string) qui generate rc = . qui generate numvars = . local by "`_byvars'" tempvar gr if _by() == 1 { qui egen `gr' = group(`by') } else { qui gen `gr' = 1 } qui levels `gr', local(groups) local k: word count `varlist' local depvar: word 1 of `varlist' qui forvalues i = 2/`k' { local v: word `i' of `varlist' confirm new variable `stub'_`v' confirm new variable `stub'_se_`v' generate `stub'_`v' = . generate `stub'_se_`v' = . local reglist "`reglist' `v'" } qui { confirm new variable `stub'_cons confirm new variable `stub'_se_cons confirm new variable `stub'_r2 confirm new variable `stub'_RMSE confirm new variable `stub'_sd_residual confirm new variable `stub'_N generate `stub'_cons = . generate `stub'_se_cons = . generate `stub'_r2 = . generate `stub'_RMSE = . generate `stub'_sd_residual = . generate `stub'_N = . } local max = 0 local min = 1 qui count local total = r(N) //quietly { foreach g of local groups { qui count if `gr' == `g' local max = r(N) + `max' if `=`max' - `move' + 1' < 0 | `=`max' - `min'' < `move' - 1 { local min = `max' + 1 continue } forvalues i = `min'/`=`max' - `move' + 1' { local j = `i' + `move' - 1 if `j' <= `total' { local gvk = gvkey[`i'] display "gvkey = `gvk' i = `i' j = `j'" capture regress `depvar' `reglist' in `i'/`j' //regress `depvar' `reglist' in `i'/`j' qui replace rc = _rc in `j' if _rc != 2000 & _rc != 0 { regress `depvar' `reglist' in `i'/`j' } if _rc == 0 & e(N) == `move' { tempvar res qui predict `res' if e(sample), res qui summarize `res' qui describe qui replace numvars = r(k) in `j' qui replace `stub'_sd_residual = `res' in `j' qui replace `stub'_r2 = e(r2_a) in `j' qui replace `stub'_RMSE = e(rmse) in `j' qui replace `stub'_N = e(N) in `j' qui replace `stub'_cons = _b[_cons] in `j' qui replace `stub'_se_cons = _se[_cons] in `j' forvalues l = 2/`k' { local v: word `l' of `varlist' qui replace `stub'_`v' = _b[`v'] in `j' qui replace `stub'_se_`v' = _se[`v'] in `j' } drop `res' } } } local min = `max' + 1 } //} end * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: re: rollreg2***From:*Kit Baum <baum@bc.edu>

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