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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   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




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