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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 16:36:15 -0500


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.



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 [email protected]
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
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:

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 <[email protected]>
Ross School of Business at the University of Michigan
701 Tappan St., Ann Arbor, MI 48109
phone: 734-615-4178 fax: 734-936-0282
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