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Re: st: Calculating firm-specific rolling betas


From   da2147@columbia.edu
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Calculating firm-specific rolling betas
Date   Sun, 25 Feb 2007 09:08:22 -0500

The 'rolling' command might work (I think its only available in
Stata 9)

but the syntax is the following:

rolling window(#) stepsize(#) saving(pathname\results.dta), <command
you want to execute, such as regress>

what this does is it takes the first 'X' observations (this is what
you specify in the <window> option) and runs <command> on them, and
saves the estimated coefficients in results.dta. It then rolls the
window forward by the number of time period specified in
<stepsize>, and then repeats the estimation again, saves again.

Recursive estimation is also possible (keep the starting point fixed
and just keep expanding the estimation window forward).


Quoting Nuno <liststata@gmail.com>:

> Hi everyone,
>
> I have a database that has the following structure:
>
> Firmid	date	ret	mktret
> A	011990	.1	.05
> A	021990	.05	.02
> A	031990	-.05	-.1
> (...)
> A	122000	.1	.1
> B	082001	.2	.1
> B	092001	.05	.2
> (...)
> B	122006	.1	.1
> (...)
>
> I need to calculate a simple regression of ret on mktret for each
> of the
> last 24 months of data of each company, for each company, and
> save the
> results in a separate file.
> If I use the command:
> statsby _b , by(firmid) saving(c:\results.dta,replace): reg ret
> mktret
> I get the coefficients using all the available observations,
> which is not
> what I need. I've tried using
> statsby _b , by(firmid date) saving(c:\results.dta,replace): reg
> ret mktret
> in -1/-20
> But this doesn't work as the -by- statement restricts the sample
> to the
> month being analyzed, thus not including the last 20 months in
> the
> estimation.
> Any ideas of this can be done?
>
> Best,
>
> Nuno
>
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>


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