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From | Christopher F Baum <baum@bc.edu> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: re: depvar and rolling regressions |
Date | Mon, 1 Nov 2010 13:13:40 -0400 |
<> I have a simple question, I am using the -rolling- command and how do I get the depvar forecast from my regressions. The predict command is not working since the e(sample) is not being saved each rolling period; eventhough, I am saving the rolling outputs to a *.dta file. My code is: rolling _b, window(12) saving(rolltest) noisily: xtregar (D.(r ep mom)), fe lbi predict Dr_f, ue last estimates not found You need to do something similar to what is done in -myregress- (findit myregress). rolling:, like by:, statsby:. simulate: etc cannot execute multiple commands. Thus you need to write a very simple 'wrapper command' that packages the estimation and prediction (or, in myregress, the lincom) which you can then invoke instead of xtregar. Kit Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/