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Re: st: rclass program in rolling
From
Steve Samuels <[email protected]>
To
[email protected]
Subject
Re: st: rclass program in rolling
Date
Wed, 19 Mar 2014 17:10:12 -0400
In future responses, please write with your full, real name, as
specified in the FAQ. I believe your name is "Jonah Abbot", but you'll
have to make that clear in your signature of email handle.
Regards,
Steve Samuels
[email protected]
On Mar 19, 2014, at 6:55 AM, John Doe <[email protected]> wrote:
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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