re: st: RE: re: depvar and rolling regressions

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

<>
Degas said

I have created a saved file (from rolling regressions) and merged it
with my data file to calculate the dependent variable.

Do you have a research paper that uses the -myregress- on your website
since I do not quite understand the command.


The use of myregress is illustrated in section 12.1 of ITSP. After webuse wpi1,

. rolling sum=r(sum) se=r(se) ,window(30) :  myregress wpi L(1/4).wpi t, lagvar(wpi) nlags(4)

will estimate the steady-state value of the sum of lag coeffs, in point and interval form, using rolling.

The same logic could be used, substituting predict for lincom, to estimate and predict under the control of rolling.

Kit

Kit Baum   |   Boston College Economics & 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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