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Re: st: re: multiple rolling regressions


From   "Erasmo Giambona" <e.giambona@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: multiple rolling regressions
Date   Thu, 8 May 2008 15:08:11 +0200

Dear Kit,
This was truly helpful. However, it seems to me it is using the entire
data for each firm, while I need it to use only 5 year of data at a
time (rolling regression). I would appreciate if you have any
suggestions on how I could accomplish this additional result.
Regards,
Erasmo

On Thu, May 8, 2008 at 1:58 PM, Kit Baum <baum@bc.edu> wrote:
> > webuse grunfeld, clear
> > g double ipred = .
> > qui forv i = 1/10 {
> >        reg invest year if company==`i'
> >        predict double ihat if e(sample), resid
> >        reg mvalue year if company==`i'
> >        predict double mhat if e(sample), resid
> >        reg ihat mhat if company==`i', noco
> >        predict double xb if e(sample), xb
> >        replace ipred = xb if company==`i'
> >        drop ihat mhat xb
> > }
> >
>
> The series ipred will be the predicted value of invest (demeaned by firm).
> You could save the coefficients/standard errors in a matrix if you wish.
>
> 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
>
>
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