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st: Rolling Window with Panel Data

From   "Degas Wright" <>
To   <>
Subject   st: Rolling Window with Panel Data
Date   Thu, 28 Oct 2010 07:00:35 -0400

To all,
What is the best way to perform rolling regressions in panel data, I am
using the -xtregar- command and the -rolling- command seems to work only
in time series. I would like to perform -xtregar- over the complete
cross section and 12 observations.

Rolling _b, window(12): xtregar (D.(r ep mom)), fe lbi

Gives an error message:
xtregar(D.(r command not found

Thank you in advance for your comments.

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

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