Hi I am using Stata9's new rolling capability with prais regression
on a panel dataset (unbalanced panal with about 10,000 individuals
and roughly 15 years for each).
Stata-tech support helped me write a little program that collects,
in addition to coefficients of the regression, its predicted values
and residuals. But the program doesn't seem to work well, and I am
not sure where the bug is, I tried recontacting tech support, but
so far no answer. Here is my code, any help would be greately
appreciated:
*************************
tsset person year
program myforecast, rclass
syntax [if]
prais r exp `if'
summ year if e(sample)
local min=r(min)
predict pred`min' if e(sample)
predict resid`min' if e(sample), r
return scalar n=r(N)
return scalar rho=e(rho)
end
rolling rho=r(rho) n=r(n), window(15) ///
saving(roll, replace): myforecast
save pred, replace
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Olga Gorbachev Melloni
Economics Ph.D. Student
Columbia University
www.columbia.edu/~ocg2001
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