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

From |
"Austin Nichols" <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: multiple rolling regressions |

Date |
Thu, 8 May 2008 10:21:10 -0400 |

Erasmo Giambona <e.giambona@gmail.com>: You haven't said what output you hope to save from this exercise, so it's impossible to propose an actual solution--did you want to save the estimated coefs d? Residuals? As written, if you go through the whole exercise, the dataset is unchanged at the end! Also, why not make the "trend" variable range -2 to 2 for 5 years, so the intercept is the mean of the depvar? The residuals are the same either way, but you can derive and interpret the coefs in the latter case much more easily. If you start with some actual fake data (see below) and show what you hope to end up with, someone is bound to show you how to do it! If you just want the estimated coefs d_{it}, and there are no gaps in year, here's one way to do it: clear input firm year y x 1 1980 20 23 1 1981 22 34 1 1982 20 19 1 1983 20 23 1 1984 22 34 1 1985 20 19 1 1986 28 34 1 1987 30 19 2 1980 15 23 2 1981 55 34 2 1982 29 19 2 1983 15 23 2 1984 55 34 2 1985 29 19 2 1986 28 34 2 1987 30 19 end tsset firm year sort firm year g double d=. qui forv i=3/`=_N-2' { loc f=`i'-2 loc l=`i'+2 reg y year in `f'/`l' if firm==firm[`i'] if e(N)==5 { predict double ye if e(sample), resid reg x year in `f'/`l' if firm==firm[`i'] predict double xe if e(sample), resid reg ye xe replace d=_b[xe] in `i' drop ye xe } } li, noo sepby(firm) If you have gaps in year (which -tsset- will report above), or missing data, you will need to specify what you want to do in those cases... On Thu, May 8, 2008 at 5:50 AM, Erasmo Giambona <e.giambona@gmail.com> wrote: > Here is my problem: > > I have a panel dataset that looks as follows: > > firm year y x > 1 1980 20 23 > 1 1981 22 34 > 1 1982 20 19 > 1 198320 23 > 1 1984 22 34 > 1 1985 20 19 > 1 1986 28 34 > 1 1987 30 19 > ........... > 2 1980 15 23 > 2 1981 55 34 > 2 1982 29 19 > 2 1983 15 23 > 2 1984 55 34 > 2 1985 29 19 > 2 1986 28 34 > 2 1987 30 19 > ............. > etc. > > Assume also that "trend" is a trend variables ranging from 1 to 5. > > I need to implement a two-step procedure. In the first step, I run for > each "firm" a regression of y on the trend variable and an intercept > and a regression of x on the trend variable and an intercept, using in > both cases 5 years of data: 1) y = intercept +b*trend + errory; > 2) x = intercept + c*trend + errorx. After the first step, I output > the errors from regression 1) and regression 2). Now I regress the > errors > from 1) on the errors from 2) (again for each firm): 3) errory = > d*errorx+error. I repeat the two steps for each year in the sample. > > I hope you have some suggestions on how I could handle this issue. > > Best regards, > Erasmo * * 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/

**Follow-Ups**:**Re: st: multiple rolling regressions***From:*"Erasmo Giambona" <e.giambona@gmail.com>

**References**:**st: multiple rolling regressions***From:*"Erasmo Giambona" <e.giambona@gmail.com>

**Re: st: multiple rolling regressions***From:*"Erasmo Giambona" <e.giambona@gmail.com>

- Prev by Date:
**st: Teach an old dog new tricks** - Next by Date:
**st: Stata numerical accuracy/precision** - Previous by thread:
**Re: st: multiple rolling regressions** - Next by thread:
**Re: st: multiple rolling regressions** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |