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Re: st: constrained rolling regression

From   Maarten buis <[email protected]>
To   [email protected]
Subject   Re: st: constrained rolling regression
Date   Tue, 18 Jan 2011 13:24:24 +0000 (GMT)

--- On Tue, 18/1/11, "Oliver Brümmer" wrote:
> I'd like to perform a constrained rolling regression.
> I know that there is a constraint function and a rollreg
> module available. apparently, I am not able to combine
> these two.

I guess you tried to add constraints to -regress-, which
is not allowed. Instead you should use -cnsreg-. 

*-------------------- begin example -----------------
webuse lutkepohl2, clear
tsset qtr
constraint 1 dln_consump = 1
rolling _b, window(30): ///
   cnsreg dln_inv dln_inc dln_consump, constraints(1)
*------------------- end example ---------------------
(For more on examples I sent to the Statalist see: )

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen


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