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st: rollreg module
From
"[email protected]" <[email protected]>
To
[email protected]
Subject
st: rollreg module
Date
Sat, 5 Feb 2011 19:28:50 +0100 (CET)
Dear statalist,
I have a panel dataset and I am trying to use the rollreg module to run
rolling regressions for each unit in the sample.
Unfortunately my sample has gaps in time for many units. The program requires
that there are no gaps and I get an error message. If I fill the gaps by using
the tsfill command (so by setting the gaps to be missing observations) the
command still doesn't work.
Do you know if there is a way to run the rollreg command without dropping the
units with gaps?
I also tried the rolling prefix to regress, but in this case the computation
time is too long with a very large dataset.
Thanks a lot,
Andrea
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