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re:Re: st: RE: rolling regression and hypothesis testing


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re:Re: st: RE: rolling regression and hypothesis testing
Date   Mon, 4 Apr 2011 22:32:42 -0400

<>
Nat said:

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.


Such a 'wrapper' program that does estimation and testing, to be called by -rolling-, is available as part of the itsp_ado package as

ssc type myregress.ado

Using the wpi1.dta dataset, try

myregress wpi L(1/4).wpi t, lagvar(wpi) nlags(4)

Kit

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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