Re: st: Plot coefficients and confidence intervals for rolling regressions

[Nick Cox <njcoxstata@gmail.com>]

I don't think there's a canned way of doing this so it would have to  
be done as you did it.

A detail is that 1.96 doesn't quite square with a window of 10.

Nick

On 30 Sep 2011, at 22:52, Richard Herron <richard.c.herron@gmail.com>  
wrote:

> I found that I can plot fitted values with confidence intervals from
> -regress- with -lfitci-. Is there a similar functionality that I can
> combine with -rolling- regressions (i.e., -rolling: regress-) to do
> similar plots of regression coefficients and confidence intervals?
>
> * ----- begin code -----
> * plot of fitted values and confidence intervals
> sysuse auto, clear
> twoway lfitci mpg weight
>
> * but can I plot confidence intervals from -rolling: regress- ? My
> manual solution seems hackish.
> clear
> set obs 200
> generate t = _n
> generate y = 1
> replace y = 0.5*y[_n - 1] + rnormal() if t > 1
> tsset t
> rolling _b _se, window(10) recursive clear keep(t): regress y l.y
>
> * generate plot "manually"
> tsset date
> generate lower = _stat_1 - 1.96*_stat_3
> generate upper = _stat_1 + 1.96*_stat_3
> tsline _stat_1 lower upper
> * ----- end code -----
>
> Is there a more Stata way to do this? Thanks!
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