tsset will do the sorting for you.
webuse wpi1,clear
tsset t
gen pred = .
su ln_wpi,meanonly
qui forv i = 3/`r(N)' {
reg ln_wpi t in 1/`=`i'-1'
tempvar xb
predict `xb' in `i'
replace pred = `xb' in `i'
}
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
On Feb 5, 2008, at 2:33 AM, statalist-digest wrote:
Subject: Re: st: sorted rolling regresion
Any ideas on how to approach this?
On Feb 2, 2008 11:47 AM, William Bishop <[email protected]> wrote:
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?
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