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From |
Nick Cox <njcoxstata@gmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Plot coefficients and confidence intervals for rolling regressions |

Date |
Sat, 1 Oct 2011 12:58:18 +0100 |

A detail is that 1.96 doesn't quite square with a window of 10. Nick

I found that I can plot fitted values with confidence intervals from -regress- with -lfitci-. Is there a similar functionality that I can combine with -rolling- regressions (i.e., -rolling: regress-) to do similar plots of regression coefficients and confidence intervals? * ----- begin code ----- * plot of fitted values and confidence intervals sysuse auto, clear twoway lfitci mpg weight * but can I plot confidence intervals from -rolling: regress- ? My manual solution seems hackish. clear set obs 200 generate t = _n generate y = 1 replace y = 0.5*y[_n - 1] + rnormal() if t > 1 tsset t rolling _b _se, window(10) recursive clear keep(t): regress y l.y * generate plot "manually" tsset date generate lower = _stat_1 - 1.96*_stat_3 generate upper = _stat_1 + 1.96*_stat_3 tsline _stat_1 lower upper * ----- end code ----- Is there a more Stata way to do this? Thanks!

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