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From |
Richard Herron <richard.c.herron@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Re: rolling and ts operators |

Date |
Tue, 25 Oct 2011 06:43:43 -0400 |

You're right. Thanks for filling in the other half of the explanation. With one -f.- operator, the last and next-to-last regressions should have the same number of observations because Nuno used the -recursive- option, which provides a growing window. With one -l.- operator, each window should have one less observation than without the -l.- operator, again, because of the -recursive- option. Remove -recursive- and the first window will have six observations and the remainder will have seven. On Tue, Oct 25, 2011 at 06:34, Nick Cox <njcoxstata@gmail.com> wrote: > That's what I thought too, although I'd guess at the problem being a > missing value rather than something being empty. But how come the use > of f. doesn't exclude the last observation in the window too? This is > a lazy post, because I have not looked at the code or done any > experimentation. > > Nick > > On Tue, Oct 25, 2011 at 11:19 AM, Richard Herron > <richard.c.herron@gmail.com> wrote: >> -rolling- passes seven observations to -regress-, but when -regress- >> creates the regressors, the one with the lag operator in the first >> observation for each individual is empty. -regress- still runs the >> regression, but can only use six observations since the first one is >> empty. >> >> It doesn't have to do with the number or linearity of regressors. >> Maybe it's illustrative to look at that first seven observation window >> and see that the first lagged value is missing and that -regress- has >> N = 6. >> >> * begin code >> webuse grunfeld, clear >> xtset company year >> list company year invest mvalue l.mvalue in 1/7 >> regress invest mvalue l.mvalue in 1/7 >> * end code >> >> On Tue, Oct 25, 2011 at 05:12, Nuno Soares <ndsoares@gmail.com> wrote: >>> 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? >>>> > > * > * 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/ > * * 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/

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

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

**Re: st: Re: rolling and ts operators***From:*Richard Herron <richard.c.herron@gmail.com>

**Re: st: Re: rolling and ts operators***From:*Nick Cox <njcoxstata@gmail.com>

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