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From |
"Erasmo Giambona" <e.giambona@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: multiple rolling regressions |

Date |
Fri, 9 May 2008 12:20:35 +0200 |

Thanks Austin. There is still something I don't quite grasp. Thanks in advance for your patience. 1. If I insert another row of data for firm 1 in the dataset from your example, say: 1 2004 33 45, then I noticed that the code does not create missing values from 1988-2003, but rather uses data from 1984-1987 and 2004 to estimate d for 2004, while I would like to get a missing d in this case; 2. When I run the code with my data I cannot obtain any results, despite the fact that the data look very similar to the example at least to me. Here is an excerpt from the real data: 1 1984 1.061948 3.49672 1 1985 1.83066 4.003654 2 1984 0.5492768 2.696585 2 1985 0.5056121 3.226407 2 1986 1.076026 3.619208 2 1987 -0.3400373 3.646911 2 1988 -1.6812 3.520697 2 1989 -1.200567 3.008994 On Thu, May 8, 2008 at 7:33 PM, Austin Nichols <austinnichols@gmail.com> wrote: > clear > input firm year y x > 1 1980 20 23 > 1 1981 22 34 > 1 1982 20 19 > 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 > fillin firm year > tsset firm year > sort firm year > g double d=. > qui forv i=3/`=_N-2' { > loc f=`i'-2 > loc l=`i'+2 > if firm[`f']==firm[`i'] & firm[`l']==firm[`i'] { > reg y year in `f'/`l' if firm==firm[`i'] > 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 `l' > drop ye xe > } > } > li, noo sepby(firm) > > > On Thu, May 8, 2008 at 1:21 PM, Erasmo Giambona <e.giambona@gmail.com> wrote: >> Hi Austin, >> >> Thanks very much. Your code really gets me very very close to what I >> want to achieve. >> >> Here are some additional clarifications that you required. Yes, I am >> only interested in saving the estimated coefs d of reg ye xe. If there >> are missing data in the 5 year window, I would still like to get the >> estimates with whatever data is available. If there are gaps, for >> instance for a company I have data for the window 1980-1984 and >> 1990-1994, then I would like to get estimates for the first window and >> independently for the second window. >> >> I noticed that you code calculates d based on observations from -2 to +2. >> For instance, d=.15129763 for 1982 is based on data from 1980-1984. >> What I would really like to achieve is for instance that d for 1984 is >> based on the data from 1980-1984. >> >> Hope you can provide some additional hints on how I could obtain what I need. >> Thanks very much, >> 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/ > * * 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:*"Austin Nichols" <austinnichols@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>

**Re: st: multiple rolling regressions***From:*"Austin Nichols" <austinnichols@gmail.com>

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

**Re: st: multiple rolling regressions***From:*"Austin Nichols" <austinnichols@gmail.com>

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