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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 21:01:52 +0100

I have been trying to write the program that -rolling- can call in order to do regression and hypothesis testing in one go. However, I am having a problem in the hypothesis testing part as I want to test the significance of the difference between an estimated coefficient and a variable, say, Z which takes on a value that differs by year. So I have rolling windows(20) clear, progname and the program is as follows, program progname
  reg Yt X1t X2t
  test X1t = Zt
  gen p = r(p) // to generate a variable for p values
  gen f = r(F) // to generate a variable for F statistics
end and t is year. If Zt is a constant, then presumably my program would work fine. However, since the value of Zt varies from from year to year, Stata interprets Zt as one of the regressors which is always not found because -rolling- command will not keep Zt when it is executed. I have spent all day and night to figure out how to write the correct code, but still completely clueless. I would greatly appreciate any advice on this. Thank you very much. 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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