st: Re: Programming, rollreg, gaps, and memory

["Michael Blasnik" <michael.blasnik@verizon.net>]

I think you may need to add:

drop `res'

at the end of your loop.  Otherwise, the repeated calls to -tempvar res- 
each time through the loop will create an additional new variable.  Given 
the nature of rolling regressions, that becomes about 1 variable per 
observation in the dataset and could easily lead to exceeding the limit on # 
variables.  By the way, if you don't know what an error code means, you can 
always just type error ###.  In the case of error 902, it says "no room to 
add more variables due to width".

Michael Blasnik
michael.blasnik@verizon.net



Cameron Hooper wrote:

<snip>

> forvalues i = `min'/`=`max' - `move' + 1' {
>   local j = `i' + `move' - 1
>
>   if `j' <= `total' {
>
>         capture regress `depvar' `reglist' in `i'/`j'
>         replace rc = _rc in `j'
>
>         if _rc == 0 & e(N) == `move' {
>
>           tempvar res
>           predict `res' if e(sample), res
>           summarize `res'
>           replace `stub'_sd_residual = `res' in `j'
>           replace `stub'_r2 = e(r2_a) in `j'
>           replace `stub'_RMSE = e(rmse) in `j'
>           replace `stub'_N = e(N) in `j'
>           replace `stub'_cons = _b[_cons] in `j'
>           replace `stub'_se_cons = _se[_cons] in `j'
>
>           forvalues l = 2/`k' {
>
>             local v: word `l' of `varlist'
>             replace `stub'_`v' = _b[`v'] in `j'
>             replace `stub'_se_`v' = _se[`v'] in `j'
>
>           }
>
>         }
>       }
>     }
>     local min = `max' + 1
>   }
>   }
>
> end
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/