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st: Fwd: rolling regression with if var<mean
From
Sina Öfinger <[email protected]>
To
[email protected]
Subject
st: Fwd: rolling regression with if var<mean
Date
Sun, 23 Mar 2014 11:45:35 +0100
> Hi,
>
> I have a question regarding the rolling operator.
>
> I have a data set with daily stock market data lets say:
>
> date Stock1 Stock2
> 12.03.1990 .00056 aso.
> 13.03.1990 .000789
> 14.03.1990 .000457
> . .
> . .
> . .
>
> If I now want to regress Stock1 on Stock2 on a rolling basis (window 260, step 20) I can do that easily with
>
> rolling , window(260) stepsize(20) : regress Stock1 Stock2
>
> but what if I want to perform a regression only if Stock2 < mean(Stock2) (for every period… so for the first regression over the first 260 time intervals I want Stock2 to be < than its mean during those first 260 day / for the second regression (20-280) I want to regress only if Stock2>mean(over period 20-280) … so the average in the if function needs to be recalculated for every regression)
>
> rolling , window(260) stepsize(20) : regress Stock1 Stock2 if Stock2<mean(Stock2) does not work
>
> is there a different mean function that I can use and that will work?
>
> Thanks alot in advance
>
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