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st: re: multiple rolling regressions

From   Kit Baum <>
Subject   st: re: multiple rolling regressions
Date   Thu, 8 May 2008 09:37:59 -0400

Erasmo said

This was truly helpful. However, it seems to me it is using the entire
data for each firm, while I need it to use only 5 year of data at a
time (rolling regression). I would appreciate if you have any
suggestions on how I could accomplish this additional result.

That depends what it is you are trying to capture from each of the rolling regressions: predicted values, coefficients, summary stats?


Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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