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re:st: constrained rolling regression
From
Christopher F Baum <[email protected]>
To
<[email protected]>
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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