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| From | Nick Cox <n.j.cox@durham.ac.uk> |
| To | "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |
| 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 n.j.cox@durham.ac.uk 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. > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/