Fernando Penalva wrote, modulo deprecated MIME/HTML,
I don't know how to run a regression
of Y on X for each FIRMID and ENDDATE so that
each regression uses as observations the current
observation and the previous 60 within the FIRMID group.
On top of that I want to store the coefficient on X
for each regression.
>>> Stata 8 assumed (Statalist default).
A very rough guess:
sort firmid enddate
ssc inst levels
levels firmid, local(ids)
gen coef = .
gen obsno = _n
qui foreach id of local ids {
su obsno if firmid == `id', meanonly
local j1 = r(min) + 59
local j2 = r(max)
forval j = `j1' / `j2' {
local i = `j' - 59
regress Y X if inrange(obsno,`i',`j')
replace coef = _b[X] in `j'
}
}
Note that the coefficients will be autocorrelated
in a way that inhibits some further analyses.
Nick
[email protected]
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