Re: st: RE: rolling regression and hypothesis testing

[Nat Tharnpanich <nt289@cam.ac.uk>]

That is brilliant. Thank you Nick. You have opened the world of Stata 
programming to me! Nat On Apr 4 2011, Nick Cox wrote:

> 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 
> n.j.cox@durham.ac.uk 
>
> 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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--
Nat Tharnpanich
Downing College and Department of Land Economy
University of Cambridge
CB2 1DQ
nt289@cam.ac.uk

*
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