Re: st: RE: Rolling Regressions

[Philipp Krueger <Philipp.Krueger@unige.ch>]

Thank you very much for your advice.
Am 17.03.2011 18:51, schrieb Nick Cox:
> You are basically correct about being incorrect.
>
> Here
>
> if count_month==60 {
>
> would be interpreted by Stata as
>
> if count_month[1] == 60 {
>
> which is not what you want.
>
> But Stata [sic] allows this. It is perfectly legal. It just does not do what you want.
>
> As a matter of technique, if you just want a single count, then putting the result in a variable, as in
>
> egen count_month=count(retrf) if year<`i'&year>=(`i'-5)&sic2==`j'
>
> is unnecessary, as
>
> count if retrf<  .&   year<`i'&year>=(`i'-5)&sic2==`j'
>
> would produce a result in r(N) that you could use.
>
> Other postings in this thread have pointed you to better solutions.
>
> Nick
> n.j.cox@durham.ac.uk
>
> Philipp Krueger
>
> I have monthly data and I am trying to run regressions on rolling
> windows of the past 60 months (years: t-5). The resulting beta
> coefficient should be saved into an existing variable for the months of
> the current year t. I think that I am trying to use the “if command” as
> if it was an “if qualifier”, something which STATA apparently does not
> allow.  My logic is to run the regression whenever 60 months of data are
> available in a period “t” for group “j” and if there is no data
> available for the last 60 months, setting the variable beta to missing.
> Unfortunately, my code does not work:
>
> gen beta=.
> forvalues i=1986(1)2000 {
> disp "year `i' "
> foreach j of numlist 1 2 7{
> egen count_month=count(retrf) if year<`i'&year>=(`i'-5)&sic2==`j'
> 	
> if count_month==60 {
> 	reg retrf mktrf if year<`i'&year>=(`i' -5)&sic2==`j'
> 	quietly mat b=get(_b)
> 	quietly replace beta=b[1,1] if year==`i'&sic2==`j'
> }
> else {
> 	quietly replace beta=. if year==1986&sic2==1
> }
> drop count_month
> 	}
> }
>
>
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