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st: efficient method for rolling postestimation


From   Daniel.Green@ny.frb.org
To   statalist@hsphsun2.harvard.edu
Subject   st: efficient method for rolling postestimation
Date   Sat, 4 Dec 2010 13:35:22 -0500

Hello Statalist,

I am calculating rolling exposures of a set of several stocks' returns to a single risk factor.  In each estimation window I want to test the hypothesis that the exposures are equal and save a relevant test statistic along with the estimated coefficients.  I can use the rolling command on sureg to compute and save the rolling coefficients, but what about performing the postestimation?  I assume the best way to do this is to write my own program that performs both the surreg and the postestimation, and apply the rolling prefix to this program.  

Is this the "correct" way to go about this type of analysis?  If not, what would you recommend? 
Thanks,

Daniel



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