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RE: st: Rolling Regressions
From
Nick Cox <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
RE: st: Rolling Regressions
Date
Thu, 17 Mar 2011 17:43:22 +0000
Yes. -tsset- your data and -rolling- will take account of panel structure.
Nick
[email protected]
Philipp Krueger
Thank you. Is there a way of running -rolling- with an id variable j?
Am 17.03.2011 18:02, schrieb Maarten buis:
> See: -help rolling-
> --- On Thu, 17/3/11, Philipp Krueger wrote:
>> I have monthly data and I am trying to run regressions on
>> rolling windows of the past 60 months (years: t-5). The
>> resulting beta coefficient should be saved into an existing
>> variable for the months of the current year t.
>
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