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st: rolling regression and hypothesis testing

From   Nat Tharnpanich <>
Subject   st: rolling regression and hypothesis testing
Date   04 Apr 2011 18:42:27 +0100

Hi all, I would like to run rolling OLS regression of, say, overlapping 20-year periods and test a hypothesis whether the coefficient is statistically different from 1. As far as I know, the rolling command in Stata allows you to execute only one command at a time. But in my case, I want to run a regression of each subperiod and then test the hypothesis for that subperiod before Stata goes on to subsequent subperiods and this involves two commands, reg and test.
   Any suggestions would be very much appreciated.

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