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re: st: efficient method for rolling postestimation


From   Christopher Baum <kit.baum@bc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   re: st: efficient method for rolling postestimation
Date   Sat, 4 Dec 2010 16:02:36 -0500

<>
Daniel asks

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? 


Yes. Please see postings
http://www.hsph.harvard.edu/cgi-bin/lwgate/STATALIST/archives/statalist.1011/date/article-42.html
http://www.hsph.harvard.edu/cgi-bin/lwgate/STATALIST/archives/statalist.1011/date/article-57.html



Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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