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st: Rolling Window with Panel Data
From
"Degas Wright" <[email protected]>
To
<[email protected]>
Subject
st: Rolling Window with Panel Data
Date
Thu, 28 Oct 2010 07:00:35 -0400
To all,
What is the best way to perform rolling regressions in panel data, I am
using the -xtregar- command and the -rolling- command seems to work only
in time series. I would like to perform -xtregar- over the complete
cross section and 12 observations.
Rolling _b, window(12): xtregar (D.(r ep mom)), fe lbi
Gives an error message:
xtregar(D.(r command not found
r(111);
Thank you in advance for your comments.
Degas A. Wright, CFA
Chief Investment Officer
Decatur Capital Management, Inc.
250 East Ponce De Leon Avenue, Suite 325
Decatur, Georgia 30030
Voice: 404.270.9838
Fax:404.270.9840
Website: www.decaturcapital.com
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