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RE: st: Rolling Windows with XTregar


From   "Degas Wright" <dwright@cornerstoneadvice.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Rolling Windows with XTregar
Date   Thu, 28 Oct 2010 11:19:12 -0400

My next question on using the rolling command is the best way to use
-predict- command, I would like to predict the depvar over the sample
period.

rolling _b, window(12) saving(myfcst2, replace): xtregar (D.(r ep mom)),
fe

The myfcst2 file has the coefficients so do I do merge the myfcst2 file
with my original data file to calculate the depvar or is there a more
efficient approach.

Thank you in advance for your comments. 

Degas A. Wright, CFA
Chief Investment Officer
Decatur Capital Management, Inc.
250 East Ponce De Leon Avenue, Suite 325
Decatur, Georgia  30030
Voice: 404.270.9838
Fax:404.270.9840
Website: www.decaturcapital.com

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Degas Wright
Sent: Thursday, October 28, 2010 10:19 AM
To: statalist@hsphsun2.harvard.edu
Subject: RE: st: Rolling Windows with XTregar

Scott,
Thank you for your response - it works fine.

Degas A. Wright, CFA
Chief Investment Officer
Decatur Capital Management, Inc.
250 East Ponce De Leon Avenue, Suite 325
Decatur, Georgia  30030
Voice: 404.270.9838
Fax:404.270.9840
Website: www.decaturcapital.com
-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Scott
Merryman
Sent: Thursday, October 28, 2010 6:42 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Rolling Windows with XTregar

On Wed, Oct 27, 2010 at 2:00 PM, Degas Wright
<dwright@cornerstoneadvice.com> wrote:
> To all,
> What is the best way to perform rolling regressions in panel data, I
am
> using the -xtregar- command and the -rolling- command seems to work
only
> in time series. I would like to perform -xtregar- over the complete
> cross section and 12 observations.
>
> Rolling _b, window(12): xtregar (D.(r ep mom)), fe lbi
>
> Gives an error message:
> xtregar(D.(r command not found
> r(111);
>

You need a space between -xtreg- and -D.(r ep mom)-

Scott
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