st: [Stata 9] -rolling-

[Cameron Hooper <chooper@umich.edu>]

I don't have Stata 9 but from a post to this list I note that version 9 
has a -rolling- command. Can this new command perform rolling OLS 
regressions? If so, will it allow gaps in the data series? I've been 
using the excellent -rollreg- module, but it does not allow gaps. Here 
is some test data to illustrate my question (using version 8.2)

. clear
. use http://www-personal.umich.edu/~chooper/stata/rrtest2
. list if id == 1

     +----------------------------+
     | id    y    x1    x2   year |
     |----------------------------|
  1. |  1   12    80   100   1980 |
  2. |  1   23    90    93   1981 |
  3. |  1   45   100    62   1982 |
  4. |  1   13    56   120   1983 |
  5. |  1   22    65    90   1984 |
     |----------------------------|
  6. |  1   21     .    80   1985 |
  7. |  1   56   120    12   1986 |
  8. |  1   43    90    45   1987 |
  9. |  1   29    67    67   1988 |
 10. |  1   14    42    55   1989 |
     +----------------------------+

. tsset id year
       panel variable:  id, 1 to 2
        time variable:  year, 1980 to 1995

. rollreg y x1 x2, move(5) stub(rr)

Number of gaps in sample:  1

Observations with preceding time gaps
----------------------------------
   Record |         id        year
----------+-----------------------
        7 |          1        1986
----------------------------------
sample may not contain gaps
r(198);

end of do-file
r(198);

Cheers,

Cameron

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