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Re: st: sorted rolling regresion


From   "William Bishop" <wbishopco@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: sorted rolling regresion
Date   Mon, 4 Feb 2008 12:49:15 -0800

Any ideas on how to approach this?

On Feb 2, 2008 11:47 AM, William Bishop <wbishopco@gmail.com> wrote:
> I'm trying to do a rolling regression by id that regresses on previous
> dates and then gets the prediction for the current observation.
>
> The code below does the regressions but the predictions are not made
> after each regression but only after the final regression.  So what
> winds up happening is that all the predictions are based off the final
> regression.
>
> forval i = 3/`Max' {
>                         bys id (date) : regress varlist if _n < `i'
>
>                         predict temp, xb
>                         bys id (date) : replace p1 = temp if _n == `i'
>                         drop temp
> }
>
> I'm looking to have the predictions made after each regression.  Can
> this be done using bys?
>
> William
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