Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: RE: re: depvar and rolling regressions

From   "Degas Wright" <>
To   <>
Subject   st: RE: re: depvar and rolling regressions
Date   Mon, 1 Nov 2010 19:02:50 -0400

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.


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
-----Original Message-----
[] On Behalf Of Christopher F
Sent: Monday, November 01, 2010 1:14 PM
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 Baum   |   Boston College Economics and DIW Berlin   |
An Introduction to Stata Programming   |
An Introduction to Modern Econometrics Using Stata   |

*   For searches and help try:

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index