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Re: st: Looping Regression with Estimates Extraction


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Looping Regression with Estimates Extraction
Date   Wed, 25 Apr 2012 10:10:41 -0400

Rohit <rs.net@me.com>:
Something like this?

sysuse sp500, clear
gen double r2=.
gen double rmse=.
qui forv i=15076/15340 {
 reg high volume if inrange(date,`i'-99,`i')
 replace r2=e(r2) if date==`i'
 replace rmse=e(rmse) if date==`i'
 }


On Wed, Apr 25, 2012 at 6:44 AM,  <rs.net@me.com> wrote:
> 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.
>
> Thanks!
> Rohit

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