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Re: st: Programming question

From   David Kantor <[email protected]>
To   [email protected]
Subject   Re: st: Programming question
Date   Fri, 04 Mar 2005 15:11:35 -0500

At 01:06 PM 3/4/2005 -0500, Cameron Hooper wrote:
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.
Nick Cox gave you some good advice about using -rollreg-. While I have never used -rollreg-, your problem looks like it might fit into a scheme such as...

levels id, local(idlist)
foreach i of local idlist {
rollreg ... if id==`i'

<plus code to make use of or store the results from each iteration>

I hope this helps.
-- David

David Kantor
Institute for Policy Studies
Johns Hopkins University
[email protected]
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