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Re: st: sorted rolling regresion


From   "Scott Merryman" <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: sorted rolling regresion
Date   Mon, 4 Feb 2008 18:37:48 -0600

On Feb 4, 2008 5:50 PM, William Bishop <wbishopco@gmail.com> wrote:
> Scott and Austin:
>
> Thank you both for your help with the rolling regression.  That did
> what I was hoping to accomplish.
>
> BTW, when I modified Scott's code to be time<`i' instead of time<=`i'
> it stopped making predictions.  I assume that has to do with the
> e(sample) line,  which I am unfamiliar with - will have to look into
> that.

It is tied to the -if e(sample)-.  This condition restricts the
predictions to the estimation sample.

In my example, it not generating the one-step ahead prediction, which
is what I think you want but the fitted value for the last observation
of the estimation sample.  It could modified to generate the one-step
ahead prediction as:

webuse grunfeld,clear
qui {
gen predict = .

levelsof com, loc(levels)
foreach l of local levels {
forv i =  5/20 {
       reg invest kstock if com == `l' & time <`i'
       predict foo if com == `l' & time <=`i'
       replace predict = foo if com == `l' & time == `i'
       drop foo
}
}
}


Scott
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