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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 |

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

On Apr 4 2011, Nick Cox wrote:

There is no contradiction here, as you can write a program that does yourregression 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 notindependent, so goodness know how you interpret them.Nickn.j.cox@durham.ac.ukNat TharnpanichI would like to run rolling OLS regression of, say, overlapping20-year periods and test a hypothesis whether the coefficient isstatistically different from 1. As far as I know, the rolling command inStata allows you to execute only one command at a time. But in my case, Iwant to run a regression of each subperiod and then test the hypothesisfor that subperiod before Stata goes on to subsequent subperiods and thisinvolves two commands, reg and test.* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

-- Nat Tharnpanich Downing College and Department of Land Economy University of Cambridge CB2 1DQ nt289@cam.ac.uk * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: F test on VECM***From:*Nat Tharnpanich <nt289@cam.ac.uk>

**Re: st: RE: rolling regression and hypothesis testing***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: rolling regression and hypothesis testing***From:*Nat Tharnpanich <nt289@cam.ac.uk>

**st: RE: rolling regression and hypothesis testing***From:*Nick Cox <n.j.cox@durham.ac.uk>

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