Re: Re: st: RE: rolling regression and hypothesis testing

[Nat Tharnpanich <nt289@cam.ac.uk>]

Dear Kit,
   Thank you very much for this amazing program code. I am very grateful 
of your help. I will have a look at it and I am sure this will help me 
learn a lot about Stata programming. Best, Nat On Apr 6 2011, Christopher 
Baum wrote:
> <> This should come close. Haven't had my morning caffeine fix yet, so it 
> may need a little work. But I think the concept does what you need.
> -----------------------
> prog drop _all
> prog testroll, rclass
> reg investment income consumption
> scalar lnow = linvestment[$inow]
> global inow = $inow + 1
> test income = lnow
> ret sca f = r(F)
> ret sca p = r(p)
> ret sca inow = $inow
> ret sca lnow = lnow
> end
>
> webuse lutkepohl,clear
> global inow 20
> testroll
> ret li
>
> global inow 20
> rolling f=r(f) p=r(p) inow=r(inow) lnow=r(lnow) in 21/l, w(12): testroll
> -------------------------
>
> Kit
>
> On Apr 6, 2011, at 2:33 AM, Nat wrote:
>
> > I have been trying to write the program that -rolling- can call in 
> > order to do regression and hypothesis testing in one go. However, I am 
> > having a problem in the hypothesis testing part as I want to test the 
> > significance of the difference between an estimated coefficient and a 
> > variable, say, Z which takes on a value that differs by year. So I have 
> > rolling windows(20) clear, progname and the program is as follows, 
> > program progname
> >   reg Yt X1t X2t
> >   test X1t = Zt
> >   gen p = r(p) // to generate a variable for p values
> >   gen f = r(F) // to generate a variable for F statistics
> > end and t is year. If Zt is a constant, then presumably my program would
> > work fine. However, since the value of Zt varies from from year to year,
> > Stata interprets Zt as one of the regressors which is always not found
> > because -rolling- command will not keep Zt when it is executed. I have
> > spent all day and night to figure out how to write the correct code, but
> > still completely clueless. I would greatly appreciate any advice on this.
>
> 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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--
Nat Tharnpanich
Downing College and Department of Land Economy
University of Cambridge
CB2 1DQ
nt289@cam.ac.uk

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