Hi everyone,
I have a database that has the following structure:
Firmid date ret mktret
A 011990 .1 .05
A 021990 .05 .02
A 031990 -.05 -.1
(...)
A 122000 .1 .1
B 082001 .2 .1
B 092001 .05 .2
(...)
B 122006 .1 .1
(...)
I need to calculate a simple regression of ret on mktret for each of the
last 24 months of data of each company, for each company, and save the
results in a separate file.
If I use the command:
statsby _b , by(firmid) saving(c:\results.dta,replace): reg ret mktret
I get the coefficients using all the available observations, which is not
what I need. I've tried using
statsby _b , by(firmid date) saving(c:\results.dta,replace): reg ret mktret
in -1/-20
But this doesn't work as the -by- statement restricts the sample to the
month being analyzed, thus not including the last 20 months in the
estimation.
Any ideas of this can be done?
Best,
Nuno
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