st: Looping Regression with Estimates Extraction

[rs.net@me.com]

Hello StataList,

I am unfamiliar with programming in Stata, hence the need for assistance. I have a long panel dataset of daily prices of different companies from 1990 to 2010. I am trying to understand how I can run a regression of the daily stock return (y) on, say, stock index return (x) on a daily basis using only the last 1000 observations or so? I would like to loop this regression daily, while also able to extract, to a column in the data file, some estimates like the R-squared, Root MSE, etc.

Any help on this would be greatly appreciated.

Thanks!
Rohit
*
*   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/