st: re: multiple rolling regressions

[Kit Baum <baum@bc.edu>]

> webuse grunfeld, clear
> g double ipred = .
> qui forv i = 1/10 {
> 	reg invest year if company==`i'
> 	predict double ihat if e(sample), resid
> 	reg mvalue year if company==`i'
> 	predict double mhat if e(sample), resid
> 	reg ihat mhat if company==`i', noco
> 	predict double xb if e(sample), xb
> 	replace ipred = xb if company==`i'
> 	drop ihat mhat xb
> }
The series ipred will be the predicted value of invest (demeaned by  
firm). You could save the coefficients/standard errors in a matrix if  
you wish.

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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