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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 |
Wed, 6 Apr 2011 07:11:30 -0400 |

<> This should come close. Haven't had my morning caffeine fix yet, so it may need a little work. But I think the concept does what you need. ----------------------- prog drop _all prog testroll, rclass reg investment income consumption scalar lnow = linvestment[$inow] global inow = $inow + 1 test income = lnow ret sca f = r(F) ret sca p = r(p) ret sca inow = $inow ret sca lnow = lnow end webuse lutkepohl,clear global inow 20 testroll ret li global inow 20 rolling f=r(f) p=r(p) inow=r(inow) lnow=r(lnow) in 21/l, w(12): testroll ------------------------- Kit On Apr 6, 2011, at 2:33 AM, Nat wrote: > 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. 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 * * 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**:**Re: Re: st: RE: rolling regression and hypothesis testing***From:*Nat Tharnpanich <nt289@cam.ac.uk>

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