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st: Clarification on the Rolling Regression Question


From   "Degas Wright" <degasw@decaturcapital.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Clarification on the Rolling Regression Question
Date   Tue, 29 Sep 2009 09:35:16 -0400

Dear Statalist:

I am new to the statalist community and I hope that someone can provide some
guidance to my question.  The following may clarify my earlier posting:

I am trying to run xtreg over 3 (Oct-Nov-Dec) periods covering 1,987 stocks
(xticker) and use the _b to forecast the following month (Jan).  In the
past, I was only able to run cross sectional regression over 1 period to
forecast the next month.  It is my understanding with the xt commands I am
pooling the cross sectional and the time series analysis in one regression.

I have a longitudinal dataset that has 1,987 stocks as xticker (id) and
dependent variable, return (t+1), with 20 independent variables (t) over 88
periods (months).

I am trying to run a , xtreg, regression over three periods and then use the
coefficients from the regression to forecast the t+1 return.  When I use the
following command:

. rolling _b _se, window (3) clear: xtreg return, var1, var2,.var20,
vce(cluster xticker)

(running regress on estimation sample)

-> xticker = 1

Rolling replications (86)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
.........

-> xticker = 2

Rolling replications (86)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5 
........

It starts going through each of the 1,987 stocks, by listing xticker1,
xticker 2, etc..  I have stopped it prior to the run being completed because
it will take a long time to go through all 1,987 stocks.

Is there another command that I should be using?  For instance I use the
forvalues command to run the regression, xtreg, one period at a time for all
of the periods, Period 1, Period 2, etc.

Thank you for your assistance.

Degas A. Wright, CFA
Chief Investment Officer
Decatur Capital Management, Inc.
250 East Ponce De Leon Avenue, Suite 325
Decatur, Georgia  30030
Voice: 404.270.9838
Fax:404.270.9840
Website: www.decaturcapital.com

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