Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down at the end of May, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Nuno Soares <ndsoares@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: rolling and ts operators |

Date |
Tue, 25 Oct 2011 10:12:44 +0100 |

Dear Richard, Thank you so much! I didn't know - rolling - was panel data aware! It's much more efficient than the code I have. However, although your insights solve my problem, the main question still remains: why does Stata use 6 observations and not 7.... If I just tweak your code a litle bit (to include 5 indep variables as in my case I squared mvalue); * start code * webuse grunfeld, clear rename company id gen mvaluesq=mvalue^2 xtset id year, year gen end = year tempfile stats rolling _b N = e(N), window(7) recursive saving(`stats', replace) /// : reg invest mvalue l.mvalue f.mvalue kstock mvaluesq merge 1:1 id end using `stats', nogenerate xtset id year, year * calculating error term * gen e = invest - (_b_cons + _b_mvalue*mvalue + _stat_2*l.mvalue /// + _stat_3*f.mvalue + _b_kstock*kstock+_b_mvaluesq*mvaluesq) * end code * If we just check the data we'll notice that N starts with 6 observations, which doesn't make sense... I must be missing something... Best wishes, Nuno Re: st: rolling and ts operators From Richard Herron <richard.c.herron@gmail.com> To statalist@hsphsun2.harvard.edu Subject Re: st: rolling and ts operators Date Mon, 24 Oct 2011 09:50:16 -0400 It may be easiest to think of -rolling- and -regress- in two steps. First -rolling- grabs a window of 7 observations and hands off these data to -regress-. Then -regress- regresses, but is only able to use 6 of these observations because in the first window the lagged value isn't available. If you add -N = e(N)- to your -rolling- command you can see how many observations -regress- used. Also, there is no need to use loops with -rolling-; it is panel aware (at least in 11.2). The following should help with the -N = e(N)- bit. webuse grunfeld, clear rename company id keep if id == 2 // just a test firm xtset id year gen end = year tempfile stats rolling _b N = e(N), window(7) recursive saving(`stats', replace) /// : reg invest mvalue l.mvalue f.mvalue kstock merge 1:1 id end using `stats', nogenerate xtset id year * calculating error term * gen e = invest - (_b_cons + _b_mvalue*mvalue + _stat_2*l.mvalue /// + _stat_3*f.mvalue + _b_kstock*kstock) On 24 October 2011 13:52, Nuno Soares <ndsoares@gmail.com> wrote: > Hi everyone, > > I'm having a problem with the - rolling - command the the use of time > series operators. I need to estimate a model for several firms (id) > and several years in a rolling regression with a window of at least 7 > years and the recursive option. > > The code I'm using is the following: > > use "test.dta", clear > keep if id==2 * just a test firm > xtset id year > gen end=year > tempfile stats > levelsof id, local(ids) > foreach id of local ids { > cap rolling , window(7) recursive saving(`stats', replace): reg > depvar indepvar1 l.indepvar1 f.indepvar1 indepvar2 indepvar3 if > id==`id' > cap merge 1:1 id end using "`stats'", update replace > cap drop _merge > } > sort id year > xtset id year > * calculating error term * > gen e=depvar-(_b_cons+_b_indepvar1*indepvar1+_b_stat2*l.indepvar1+_b_stat3*f.indepvar1+_b_indepvar2*indepvar2+_b_indepvar3*indepvar3) > > > Given the l. operator I was expecting that Stata would use 8 > observations given that the first l.indepvar1 would be missing an thus > it wouldn't have enough observations to estimate the first model with > only six observations (while the window option is set at 7, > restricting the sample to the first 7 observations would lead to have > only 6 eligible observations, and thus not enough data to estimate the > regression). This however isn't happening with Stata reporting > estimated coefficient starting from the first 7 observations. Any > clues on why this is happening? > > Best wishes, > > Nuno > * * 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: st: Re: rolling and ts operators***From:*Richard Herron <richard.c.herron@gmail.com>

**References**:**st: rolling and ts operators***From:*Nuno Soares <ndsoares@gmail.com>

- Prev by Date:
**Re: st: using foreach in regression models** - Next by Date:
**Re: st: Graph Mean SD of continuous variable over categorical variable - but with a twist** - Previous by thread:
**Re: st: rolling and ts operators** - Next by thread:
**Re: st: Re: rolling and ts operators** - Index(es):