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From |
Malcolm Wardlaw <malcolm@mail.utexas.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: rolling regression calculation speed and large data sets |

Date |
Fri, 03 Oct 2008 12:47:06 -0500 |

Thanks for the reply. It's not really the question I was asking, but I really like what you did. I think it solves my immediate problem in an oblique way, so thank you. That's pretty slick, I must say. I think I often get so used to typing in "reg y x" that I forget how easy it is just to calculate simple linear regression output manually. I think I'll expand a program like this for my permanent files. I haven't heard from anyone who knows about how the memory schema works, but I was wondering if there are any written resources on this. Does NC152 handle this at all? "Austin Nichols" <austinnichols@gmail.com <mailto:austinnichols@gmail.com>>" wrote: >The described phenomenon seems odd to me, and worth some further >investigation, but have you considered generating those variables >using lag operators (h tsvarlist) and a by: prefix instead of looping >over obs and running regressions? That approach would have the added >advantage of ensuring you are not tripped up by any missing time >periods, assuming you have -tsset- properly (e.g. if some company 36 >obs in a row are not for 36 consecutive trading days but for 50, say, >because of missing obs). * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: rolling regression calculation speed and large data sets***From:*Malcolm Wardlaw <malcolm@mail.utexas.edu>

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