I'm trying to do a rolling regression by id that regresses on previous
dates and then gets the prediction for the current observation.
The code below does the regressions but the predictions are not made
after each regression but only after the final regression. So what
winds up happening is that all the predictions are based off the final
regression.
forval i = 3/`Max' {
bys id (date) : regress varlist if _n < `i'
predict temp, xb
bys id (date) : replace p1 = temp if _n == `i'
drop temp
}
I'm looking to have the predictions made after each regression. Can
this be done using bys?
William
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