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re:st: constrained rolling regression


From   Christopher F Baum <baum@bc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   re:st: constrained rolling regression
Date   Tue, 18 Jan 2011 14:54:14 -0500

<>
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.
Has anyone of you performed a constrained rolling regression in STATA and might be able to help me?

If these are linear constraints, as I imagine, algebraically substitute them into the equation to be estimated, and compute rolling estimates from that one.

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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