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Re: st: Programming question


From   Cameron Hooper <[email protected]>
To   [email protected]
Subject   Re: st: Programming question
Date   Fri, 04 Mar 2005 13:06:31 -0500

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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