st: RE: re: depvar and rolling regressions

["Degas Wright" <dwright@cornerstoneadvice.com>]

Kit,
Thank you for your response.  

I have created a saved file (from rolling regressions) and merged it
with my data file to calculate the dependent variable.

Do you have a research paper that uses the -myregress- on your website
since I do not quite understand the command.

Thanks,

Degas A. Wright, CFA
Chief Investment Officer
Decatur Capital Management, Inc.
250 East Ponce De Leon Avenue, Suite 325
Decatur, Georgia  30030
Voice: 404.270.9838
Fax:404.270.9840
Website: www.decaturcapital.com
-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher F
Baum
Sent: Monday, November 01, 2010 1:14 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: re: depvar and rolling regressions

<>
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


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