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st: RE: rolling regression and hypothesis testing


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: rolling regression and hypothesis testing
Date   Mon, 4 Apr 2011 19:10:51 +0100

There is no contradiction here, as you can write a program that does your regression and testing and then that can be the single command that -rolling- calls. 

However, a big, big, big caveat is that these tests are manifestly not independent, so goodness know how you interpret them. 

Nick 
n.j.cox@durham.ac.uk 

Nat Tharnpanich

    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.
    

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