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]

RE: st: RE: re: depvar and rolling regressions

From   "Degas Wright" <[email protected]>
To   <[email protected]>
Subject   RE: st: RE: re: depvar and rolling regressions
Date   Tue, 2 Nov 2010 17:01:00 -0400

Thank you for your solution - I will give it a try.

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-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Christopher
Sent: Monday, November 01, 2010 8:47 PM
To: [email protected]
Subject: re: st: RE: re: depvar and rolling regressions

Degas said

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.

The use of myregress is illustrated in section 12.1 of ITSP. After
webuse wpi1,

. rolling sum=r(sum) se=r(se) ,window(30) :  myregress wpi L(1/4).wpi t,
lagvar(wpi) nlags(4)

will estimate the steady-state value of the sum of lag coeffs, in point
and interval form, using rolling.

The same logic could be used, substituting predict for lincom, to
estimate and predict under the control of rolling.


Kit Baum   |   Boston College Economics & 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