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| From | Robert A Yaffee <bob.yaffee@nyu.edu> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: efficient method for rolling postestimation |
| Date | Mon, 06 Dec 2010 08:14:45 GMT |
Daniel,
You might want to try the cusum test contained in the cusum6.ado file available from ssc, or if you are using a Bai-Perron test, you might consider the cusum command within Stata.
Robert
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Daniel.Green@ny.frb.org
Date: Saturday, December 4, 2010 6:38 pm
Subject: st: efficient method for rolling postestimation
To: statalist@hsphsun2.harvard.edu
> Hello Statalist,
>
> I am calculating rolling exposures of a set of several stocks' returns
> to a single risk factor. In each estimation window I want to test the
> hypothesis that the exposures are equal and save a relevant test
> statistic along with the estimated coefficients. I can use the
> rolling command on sureg to compute and save the rolling coefficients,
> but what about performing the postestimation? I assume the best way
> to do this is to write my own program that performs both the surreg
> and the postestimation, and apply the rolling prefix to this program.
>
>
> Is this the "correct" way to go about this type of analysis? If not,
> what would you recommend?
> Thanks,
>
> Daniel
>
>
>
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