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st: RE: rolling regression and hypothesis testing
From
Nick Cox <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
st: RE: rolling regression and hypothesis testing
Date
Mon, 4 Apr 2011 19:10:51 +0100
There is no contradiction here, as you can write a program that does your regression and testing and then that can be the single command that -rolling- calls.
However, a big, big, big caveat is that these tests are manifestly not independent, so goodness know how you interpret them.
Nick
[email protected]
Nat Tharnpanich
I would like to run rolling OLS regression of, say, overlapping 20-year
periods and test a hypothesis whether the coefficient is statistically
different from 1. As far as I know, the rolling command in Stata allows you
to execute only one command at a time. But in my case, I want to run a
regression of each subperiod and then test the hypothesis for that
subperiod before Stata goes on to subsequent subperiods and this involves
two commands, reg and test.
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