Re: st: Programming question

[Cameron Hooper <chooper@umich.edu>]

David Kantor wrote:
> At 12:00 PM 3/4/2005 -0500, Cameron Hooper wrote:
>
> > A novice programming question. 
> > forvalues i = 1(1)<number of companies> {
> >   for values j = 1(1)<number of observations for company `i'> {
> >     <do stuff>
> >   }
> > }
> If you tell us more about what you want to do, then we may find that you 
> really don't need to do all that explicit looping. Experience has shown 
> that it is very rare that you really need such looping.
David Harrison suggested:

summ id, meanonly
forvalues i = 1/`r(max)' {
   qui count if id==`i'
   forvalues j = 1/`r(N)' {
     <do stuff>
   }
}

Which does what I asked for (thanks David). However my ultimate goal is 
more complex than my original question suggested and upon using David's 
code I've seen a new difficulty. (I'm learning as I go!) Here is my full 
problem.

I want to estimate rolling regressions on a firm by firm basis. Then for 
each regression I want to find the standard deviation of the residuals. 
Something like:

program rstdres
version 8.0
syntax varlist , window(int) gen(string)
generate `gen' = .
tempvar resid
sum id, meanonly
quietly{
for values i = 1/'r(max)' {
  count if id==`i'
  while `b' < `r(N)' {
  regress y x in `a'/`b' if id == `i' /// See comment below
  cap drop `resid'
  predict `resid' if e(sample), resid
  summarize `resid'
  replace `gen' = r(sd) in `b'
  local a = `a' + 1
  local b = `b' + 1
  }
}}

My problem now is getting `a' and `b'. At the moment that are just 
placeholders in the code. They represent the rolling window. I don't 
know how to set them properly. Here is how they should behave:

id x y
1  1 5
1  2 6
1  4 2
2  2 5
2  8 9
2  6 1
2  2 4
2  4 9

When id == 2 I and `window' = 3 then I want a and b to be:

Iteration
   1       a = 4 b = 6
   2       a = 5 b = 7
   3       a = 6 b = 8

Can you suggest how to achieve this. Or am I approaching the entire 
problem in the wrong way?

Thanks.

Cameron
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