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From |
Malcolm Wardlaw <[email protected]> |

To |
[email protected] |

Subject |
st: Re: rolling regression calculation speed and large data sets |

Date |
Fri, 03 Oct 2008 12:47:06 -0500 |

```
Thanks for the reply. It's not really the question I was asking, but I
really like what you did. I think it solves my immediate problem in an
oblique way, so thank you. That's pretty slick, I must say. I think I
often get so used to typing in "reg y x" that I forget how easy it is
just to calculate simple linear regression output manually. I think
I'll expand a program like this for my permanent files.
I haven't heard from anyone who knows about how the memory schema works,
but I was wondering if there are any written resources on this. Does
NC152 handle this at all?
"Austin Nichols" <[email protected]
<mailto:[email protected]>>" wrote:
>The described phenomenon seems odd to me, and worth some further
>investigation, but have you considered generating those variables
>using lag operators (h tsvarlist) and a by: prefix instead of looping
>over obs and running regressions? That approach would have the added
>advantage of ensuring you are not tripped up by any missing time
>periods, assuming you have -tsset- properly (e.g. if some company 36
>obs in a row are not for 36 consecutive trading days but for 50, say,
>because of missing obs).
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```

**References**:**st: rolling regression calculation speed and large data sets***From:*Malcolm Wardlaw <[email protected]>

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