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Re: Re: st: RE: rolling regression and hypothesis testing
From
Nat Tharnpanich <[email protected]>
To
[email protected]
Subject
Re: Re: st: RE: rolling regression and hypothesis testing
Date
06 Apr 2011 13:45:36 +0100
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
[email protected]
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