st: Re: rolling regression

[Kit Baum <baum@bc.edu>]

I don't see why you need -nlcom- to calculate standard errors, unless  
you are trying to compute nonlinear combinations of the coefficients. - 
rolling- will calculate standard errors. Modifying the second example  
in its helpfile,


        . webuse lutkepohl2, clear
        . tsset qtr
        . rolling _b _se, window(10): regress dln_inv dln_inc  
dln_consump

If for some reason you would like to compute nlcoms of the estimated  
coefficients with their associated standard errors, you would need to  
write a little 'wrapper' program that generated the desired results  
and returned them to -rolling-, and execute that rather than - 
regress-. That would be a bit more work. Please clarify what you are  
trying to do.

Kit

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


On Oct 30, 2008, at 24:52 , Dr.K.Hassan Naqvi wrote:

> Dear Sir,
>
> I want to have the rolling coefficent alongwith standad errors . I  
> have been able to estimate rolling regression using stata 9 form its  
> dropdown manue.  However when I tried to estimate the standard  
> errors of the rolling coefficents using nlcom command, it does not  
> work and always given a message "last estimation not found".
>
> Based on your knowledge, may I request you to please guide me how  
> can I apply nlcom on rolling regression in stata 9.
>
> thanks,
> Hassan

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