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st: Looping Regression with Estimates Extraction

Subject   st: Looping Regression with Estimates Extraction
Date   Wed, 25 Apr 2012 11:44:36 +0100

Hello StataList,

I am unfamiliar with programming in Stata, hence the need for assistance. I have a long panel dataset of daily prices of different companies from 1990 to 2010. I am trying to understand how I can run a regression of the daily stock return (y) on, say, stock index return (x) on a daily basis using only the last 1000 observations or so? I would like to loop this regression daily, while also able to extract, to a column in the data file, some estimates like the R-squared, Root MSE, etc.

Any help on this would be greatly appreciated.

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