Re: st: Rolling your own [was: Programming question]

[Cameron Hooper <chooper@umich.edu>]

Scott Merryman wrote:
> 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.
>  <snip>
> Below, is another way of running a rolling regression and calculating the
> standard deviation of the residuals.
>
> Hope this helps,
Thank you! This is very helpful.

Cheers,

Cameron




> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> > statalist@hsphsun2.harvard.edu] On Behalf Of Cameron Hooper
> > Sent: Friday, March 04, 2005 3:36 PM
> > To: statalist@hsphsun2.harvard.edu
> > 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
>
>
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
--
Cameron Hooper <chooper@umich.edu>
University of Michigan Business School
701 Tappan St., Ann Arbor, MI 48109
phone: 734-615-4178  fax: 734-936-0282
Public Key: 
http://wwwkeys.pgp.net:11371/pks/lookup?op=index&search=0xFCCF8C91
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/