Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Re: sorted rolling regression


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
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
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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 <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?
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index