st: Coskewness and Cokurtosis

[natty.shen@gmail.com]

Greeting all. I'm new in STATA and just join the statalist today.
I have data of stock return and market return and want to estimate
coskewness and cokurtosis by

1 start first data set with data record 1 to 60 of stock A
2 regress stock return with market return on those 60 data
3 calculate residual of stock of month 1-60
4 calculate residual of market by difference between market return of
each month and the average of month 1-60
5 calculate CSK of month 61 by average of (residual stock * residual
market power 2) devide by square root of average of (residual stock
power 2 * residual market power 2) of month 61
6 calculate CKT of month 61 by average of (residual stock * residual
market power 3) devide by square root of average of (residual stock
power 2 * residual market power 3) of month 61
7 move data time window to next 60 records (record 2-61) and repeat step 2-6
8 keep doing until all data of stock A and continue on stock B and
until all stock

Could anyone give me some hint on how to program this? Thank you very
much in advance for your kind help.
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