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st: Problem to perform Rolling regression with gaps

From   "Borja Amor Tapia" <>
To   <>
Subject   st: Problem to perform Rolling regression with gaps
Date   Wed, 25 Jan 2012 12:33:54 +0100

I have a Panel with 4250 firms and 32 years (1980-2011). Variables are
accounting data and stock market data. As is very common in finance and
accounting research, only few have data for the entire 32-years period. Its
no necessary to tsfill because the time variable (year) has data for the
entire period and all firms (the file has 4250 ids * 32 years = 136000 rows)

I need two new variables (eg. alfa and beta) that captures, by firm and
year, the constant and the coefficient of the rolling regression: reg y x
using a 4 year window as the rolling period.

I am trying to run some commands such as rollreg, rolling, and bcoeff, but
I'm unable to obtain results because commands ends with errors indicating
that variables y and x have gaps. As I said, only few have data for the
entire 32-years period, and I want to perform rolling regressions in the
firm-years in which I have 4 year data although the id have less than 32 obs
for the period (ids. with 4 consecutive obs. are sufficient to perform the
regression and obtain the constant and coefficient by single year-id).

The sample is:

1-1991- . - .
1-1992- . - number

Thank you for your assistance

Borja Amor-Tapia
PhD., Finance & Accounting
University of Leon

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