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Re: st: re: rollreg2


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




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