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Re: st: Rolling Window with Panel Data


From   Léon Bueckins <l.bueckins@zeppelin-university.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Rolling Window with Panel Data
Date   Thu, 28 Oct 2010 14:35:32 +0200

I think you can use the program command/framework  for this and loop your regression while specifying the subsample. I try to find the code, got it somewhere around.

Regards

Am 28.10.2010 um 13:00 schrieb Degas Wright:

> 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
> r(111);
> 
> 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
> Fax:404.270.9840
> Website: www.decaturcapital.com
> 
> 
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