Kit,
Thanks for the correction.
- Bob
Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University
home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
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----- Original Message -----
From: Christopher Baum <[email protected]>
Date: Wednesday, February 15, 2006 4:33 pm
Subject: st: rolling regression estimates
> Bob said
>
> Have you investigated the rolling procedure. This will do
> rolling window regression or recursive least squares estimation.
> The
> explication of Kit Baum's procedure in the Stata Time Series Reference
> manual shows how it can do this. With it you can generate a new
> data set
> which will reveal locations of structural breaks in your data.
> To confirm the significance of such breaks, you can always use the
> Chow test.
>
> I wrote a routine rollreg (findit rollreg) somewhat before Stata 9
> added the rolling prefix. I did not write their rolling code. I
> made some suggestions which were politely heard, but rolling does
> not implement the methodology I implemented in rollreg, and rolling
> works for all appropriate Stata commands, not just regressions. I
> think that for regressions my approach has some advantages, but it
> lacks generality (and prepaid tech support).
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
> *
> * 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/
>
*
* 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/
