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st: rolling regression in panel data
From
"Katharina Raatz" <[email protected]>
To
[email protected]
Subject
st: rolling regression in panel data
Date
Wed, 05 Oct 2011 23:11:33 +0200
Dear Statalist,
I have a dta file containing daily return data of several stocks. I would
like to calculate the CAPM betas of these stock on basis of the
previous year's return data for each quarter beginning in 2000, i.e. from
01mar1999 to 28feb2000, from 01jun1999 to 31may2000 and so, for each stock.
I tried to implement this with a combination of statsby and rolling or
rollreg, but I could only find an options for these commands that would
calculate the betas from 01mar1999 to 28feb2000, 02mar1999 to 01mar2000
etc. so for subsequent business day.
To overcome this, I constructed a help variable indicating all regression
period start dates for all stocks e.g. the day 01mar1999 with "1". So what
I would like to know is whether there is a command e.g. for rollreg with
which I can specify that the regression should be based on data starting
where help == "1" and end e.g. 252 rows later? And if so, is there any
chance that I can also export the date (either of the start or the end) and
the stock ticker besides the coefficient estimate, so that I have a clear
identification of the regression period and to which stock the beta
belongs?
Many thanks in advance! Kristin
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