If you clone -rollreg- and alter line 402 so it reads
local f =`in1' -1
and add line 404
local lower = `lower' -1
you will now get coefficients for observations 1/5.
Below, is another way of running a rolling regression and calculating the
standard deviation of the residuals.
gen b_x1 =.
gen b_x2 = .
gen b_cons =.
gen sd_residual =.
local max = 0
local min = 1
qui {
count
local total = r(N)
levels id, local(levels)
foreach l of local levels {
sum y if id == `l'
local max = r(N) + `max'
disp `l'
forv i = `min'/`=`max' -4' {
local j = `i' + 4
if `j' <= `total' {
reg y x1 x2 in `i'/`j'
tempvar res
predict `res' if e(sample), res
sum `res'
replace sd_residual = r(sd) in `j'
replace b_x1 = _b[x1] in `j'
replace b_x2 = _b[x2] in `j'
replace b_cons = _b[_cons] in `j'
}
}
local min = `min' + `max'
}
}
Hope this helps,
Scott
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Cameron Hooper
> Sent: Friday, March 04, 2005 3:36 PM
> To: [email protected]
> Subject: Re: st: Programming question
>
> 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
>
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