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st: Re: sorted rolling regression

From   Kit Baum <>
Subject   st: Re: sorted rolling regression
Date   Tue, 5 Feb 2008 07:16:41 -0500

tsset will do the sorting for you.

webuse wpi1,clear
tsset t
gen pred = .
su ln_wpi,meanonly
qui forv i = 3/`r(N)' {
	reg ln_wpi t in 1/`=`i'-1'
	tempvar xb
	predict `xb' in `i'
	replace pred = `xb' in `i'

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

On Feb 5, 2008, at 2:33 AM, statalist-digest wrote:

Subject: Re: st: sorted rolling regresion

Any ideas on how to approach this?

On Feb 2, 2008 11:47 AM, William Bishop <> 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

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?
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