As indicated in many other postings, you can call up
the help remotely by
http://www.stata.com/help.cgi?rolling
irrespective of whether Stata 9 is installed.
I believe that -rolling- is more indulgent
than -rollreg- about gaps.
Nick
[email protected]
Cameron Hooper
> I don't have Stata 9 but from a post to this list I note that
> version 9
> has a -rolling- command. Can this new command perform rolling OLS
> regressions? If so, will it allow gaps in the data series? I've been
> using the excellent -rollreg- module, but it does not allow
> gaps. Here
> is some test data to illustrate my question (using version 8.2)
>
> . clear
> . use http://www-personal.umich.edu/~chooper/stata/rrtest2
> . list if id == 1
>
> +----------------------------+
> | id y x1 x2 year |
> |----------------------------|
> 1. | 1 12 80 100 1980 |
> 2. | 1 23 90 93 1981 |
> 3. | 1 45 100 62 1982 |
> 4. | 1 13 56 120 1983 |
> 5. | 1 22 65 90 1984 |
> |----------------------------|
> 6. | 1 21 . 80 1985 |
> 7. | 1 56 120 12 1986 |
> 8. | 1 43 90 45 1987 |
> 9. | 1 29 67 67 1988 |
> 10. | 1 14 42 55 1989 |
> +----------------------------+
>
> . tsset id year
> panel variable: id, 1 to 2
> time variable: year, 1980 to 1995
>
> . rollreg y x1 x2, move(5) stub(rr)
>
> Number of gaps in sample: 1
>
> Observations with preceding time gaps
> ----------------------------------
> Record | id year
> ----------+-----------------------
> 7 | 1 1986
> ----------------------------------
> sample may not contain gaps
> r(198);
>
> end of do-file
> r(198);
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