st: re: depvar and rolling regressions

[Christopher F Baum <baum@bc.edu>]

<>
I have a simple question, I am using the -rolling- command and how do I
get the depvar forecast from my regressions.  The predict command is not
working since the e(sample) is not being saved each rolling period;
eventhough, I am saving the rolling outputs to a *.dta file.

My code is:

rolling _b, window(12) saving(rolltest) noisily: xtregar (D.(r ep mom)),
fe lbi

predict Dr_f, ue

last estimates not found



You need to do something similar to what is done in -myregress- (findit myregress). rolling:, like by:, statsby:. simulate: etc cannot execute multiple commands. Thus you need to write a very simple 'wrapper command' that packages the estimation and prediction (or, in myregress, the lincom) which you can then invoke instead of xtregar.

Kit

Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html


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