st: Rolling does not roll properly

[Micha Schildmann <micha.schildmann@yahoo.de>]

Dear Statalist,

I am trying to create a rolling window regression and capture the t-value. The window should expand by one month per roll and regress all variables on the dependent variable, then rank them according to their t-value and export the results for the given time window. Then the window should expand and repeat the steps. My code currently looks like this.

global counter =0
capture program drop rollingwindow
program rollingwindow

global counter=$counter + 1
global tflist ""


foreach var of varlist *SA{
reg Mid `var'
tempfile tfcur
parmest, idstr("`var'") saving(`"`tfcur'"', replace) flis(tflist)
}
preserve
clear
append using $tflist
sencode idstr, gene(xvar)
lab var xvar "X-variable"
keybygen xvar, gene(parmseq)
drop if parmseq==2
egen rank = rank (-t)
drop if rank>30
save $counter, replace
export excel xvar t using $counter, firstrow(variables) replace
restore
clear
end


For some reason all the files generated contain the same results, as if window is not properly expanding. Additionally, I am not able to recreate the results using single queries.

Does someone see an issue with my formula? Or am I using -rolling- wrong? Alternatively, is there another way to approach this analysis? 

Best regards
Micha

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/