On Jun 3, 2004, at 7:33 AM, Michael wrote:
Subject: st: Re: Beginner needs help trying to run rolling regressions
in STATA 8 (in windows)
I wrote an ado back in 1999 (Stata v6) that does rolling regressions
and
fills in the predicted value for each point.
program define rollpred
version 6.0
syntax varlist , [begin(int 200) end(int 10)] gen(str)
confirm new var `gen'
gen `gen'=.
tempvar pred
local obs=_N
local i=1
local j=`i'+(`begin'-`end')
local n=`i'+`begin'
quietly {
while `j'<`obs' {
reg `varlist' in `i'/`j'
cap drop `pred'
predict `pred' in `n'
replace `gen'=`pred' in `n'
local i=`i'+1
local j=`j'+1
local n=`n'+1
}
}
end
For each datapoint, it does a regression on the points starting "begin"
points before it and ending "end" points before it. It then uses
predict to
get a prediction for the current point. You could use this as a start
for
what you want to do.
A code fragment, not a full program, that does something of this sort
is available as a class handout
http://fmwww.bc.edu/ec-c/s2004/771/movingwindow.do
I will have more to say on the subject at this month's SUGUK meeting in
London.
Kit
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