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st: re: multiple rolling regressions


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: multiple rolling regressions
Date   Thu, 8 May 2008 09:37:59 -0400

Erasmo said

This was truly helpful. However, it seems to me it is using the entire
data for each firm, while I need it to use only 5 year of data at a
time (rolling regression). I would appreciate if you have any
suggestions on how I could accomplish this additional result.

That depends what it is you are trying to capture from each of the rolling regressions: predicted values, coefficients, summary stats?

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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