st: rclass program in rolling

[John Doe <jsobott@googlemail.com>]

Dear list,

I have the following problem. I want to estimate a VAR model in a
rolling window and apply vargranger afterwards. As rolling can only be
used with one command, I write a rclass program to perform both. The
program does work but it returns a constant. Is there a possibility
that returns the results of vargranger for each estimation window?

The code so far:

program define varvar, rclass
    args var1 var2
    var `var1' `var2'
    vargranger
    mat results = r(gstats)
    return scalar ret1 = results[1,3]
    return scalar ret2 = results[3,3]
end

capture rolling  aaa = r(ret1) bbb = r(ret1)  , window(200) step(7)
clear  : var varvar1  var2


Thank you very much!

Best regards
Jonas
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