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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: regression: fade rate residual income |

Date |
Mon, 20 Oct 2008 13:37:03 +0100 |

I think you have problems at various levels. The most obvious is that -rollreg- from SSC [please remember to explain where user-written programs you discuss come from] does not support data with gaps. When you -tsset- your data you should have seen a comment that your data include gaps. The next is what you are trying to do. If I read this correctly, you want to look at regressions for pairs of values within each panel. That gives you at most two distinct data points and you should be able to solve for the coefficients directly. You will get perfect fits, except when points coincide when regression will be indeterminate. Also, there is no question of an error term. On the other hand, I doubt that I am reading you correctly. You posted on this topic a week ago. In response both Michael Hanson and I hinted that you may need to explain what you expect in more detail to get better answers. Nick n.j.cox@durham.ac.uk GBrenner1@gmx.de 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 r(198); What might be the problem? * * 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/

**Follow-Ups**:**Re: st: RE: regression: fade rate residual income***From:*GBrenner1@gmx.de

**References**:**st: regression: fade rate residual income***From:*GBrenner1@gmx.de

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