st: Looping Regression with Estimates Extraction (REPOST)

[rs.net@me.com]

Hello StataList,

I HAD SOME DIFFICULTY RESPONDING TO THE RESPONSES I RECEIVED TO THIS QUERY. HENCE, I AM REPOSTING THIS.

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