Re: st: Programming question

[Cameron Hooper <chooper@umich.edu>]

Hi

I agree that rollreg is probably the best solution. I started with Kit 
Baum's routine and just got to wondering if I could produce a quick and 
dirty solution that would work for my data. Since I knew nothing about 
programming in Stata, the dirty aspect has been realized but not the 
quick! Still, its been a good learning exercise and thanks to the 
replies I've received from people on this list I've learnt a lot in a 
short period of time.

Cheers,

Cameron

Nick Cox wrote:

> Frankly, I think you will be better off 
> starting with -rollreg-, notwithstanding 
> the apparent quirk that Kit Baum 
> is currently looking at. 
> For example, your draft code 
> assumes that your identifiers are 
> all present within a sequence; 
> calculates the SD of residuals 
> even though that is a result left behind 
> by -regress-; 
> wires in your own particular variable 
> names; 
> makes presumptions about the sort 
> order of observations. 
> None of these is necessarily fatal, 
> but the whole means that this program 
> may not bear very much pressure. 
> Rolling regressions is a little tricky 
> as a Stata programming problem. Even 
> if it weren't it would make sense 
> to start from Kit's program as the 
> best that's visible in Stataland. 
> Nick 
> n.j.cox@durham.ac.uk 
> Cameron Hooper
>  
>
> > 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?
>
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--
Cameron Hooper <chooper@umich.edu>
Ross School of Business at the University of Michigan
701 Tappan St., Ann Arbor, MI 48109
phone: 734-615-4178  fax: 734-936-0282
Public Key: 
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*
*   For searches and help try:
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