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RE: st: Rolling Windows with XTregar


From   "Degas Wright" <dwright@cornerstoneadvice.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Rolling Windows with XTregar
Date   Thu, 28 Oct 2010 10:19:02 -0400

Scott,
Thank you for your response - it works fine.

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
-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Scott
Merryman
Sent: Thursday, October 28, 2010 6:42 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Rolling Windows with XTregar

On Wed, Oct 27, 2010 at 2:00 PM, Degas Wright
<dwright@cornerstoneadvice.com> wrote:
> 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);
>

You need a space between -xtreg- and -D.(r ep mom)-

Scott
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