Re: st: Programming question

[David Kantor <dkantor@jhu.edu>]

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
dkantor@jhu.edu
410-516-5404
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