Why stop at surmise and speculation?
. search rolling
points to -rolling-...
Nick
[email protected]
Mariano Alvarez
> First of all thank you very much for your mail. I've heard
> about the rolling
> procedure and I thought that there was a command available
> that performs
> that kind of procedure. I am really interested in your release. Thanks
> again,
Robert A Yaffee
> Have you investigated the rolling procedure. This will do
> rolling window regression or recursive least squares estimation. The
> explication of Kit Baum's procedure in the Stata Time Series Reference
> manual shows how it can do this. With it you can generate a
> new data set
> which will reveal locations of structural breaks in your data.
> To confirm the significance of such breaks, you can always use the
> Chow test.
Mariano Alvarez
> > I am trying to perform a code in order to identify structural
> > breaks. Since
> > I have a large panel with several countries, my intention is to
> > write a code
> > that allows me to identify structural breaks (without a prior
> > knowledge of
> > the possible breaks dates). I wonder if someone could tell me if
> > there is a
> > command that helps me.
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