st: re: multiple rolling regressions

[Kit Baum <baum@bc.edu>]

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


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/