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st: regression: fade rate residual income

Subject   st: regression: fade rate residual income
Date   Mon, 20 Oct 2008 12:33:22 +0200

Dear all:

I would like to run a regression on residual_income. I have yearly observations of residual income for firms. The year is given in variable "year", the identifier for firm is "name".

I'd like to run the regression residual_income(year) = b0 + b1 * residual_income(year-1) + e The regression should run on "residual_income" over every two consecutive years ("year") within each identifier "name" (whenever there are values for at least two consecutive years for a given name).

I used the following:

drop if missing(residual_income)
tsset name year
rollreg residual_income l.residual_income, move(2) stub(a)

I hope this command will do what I want but unfortunately Stata always says:
sample may not contain gaps

What might be the problem? 

Thanks for your consideration.
Greg B.

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