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Re: st: RE: rolling regression and hypothesis testing


From   Nat Tharnpanich <nt289@cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: rolling regression and hypothesis testing
Date   05 Apr 2011 02:48:38 +0100

That is brilliant. Thank you Nick. You have opened the world of Stata programming to me! Nat On Apr 4 2011, Nick Cox wrote:

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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--
Nat Tharnpanich
Downing College and Department of Land Economy
University of Cambridge
CB2 1DQ
nt289@cam.ac.uk

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