I would like to run a rolling 5-year fixed window historical panel regression starting with the first year of the sample period to the end and with fixed industry effect (ff48). Do you possibly know how to add fixed industry effect into the -rangestat- rolling regression? I will be really apprecated that in advance!
This is my dataset:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double(permno fyear) float(ff48 Inew V_aip) 10001 1987 31 -.00025486574 5.374803 10001 1988 31 -.022667235 5.994856 10001 1989 31 .27767307 8.646645 10001 1990 31 .014511943 9.448002 10001 1991 31 .02056227 10.058455 10001 1992 31 .11962668 9.527263 10001 1993 31 .08478531 11.13622 10001 1994 31 .036732513 11.540134 10001 1995 31 .09014966 13.132486 10001 1996 31 .07520458 13.682534 10001 1997 31 .027721357 14.50041 10001 1998 31 -.00518379 15.95688 10001 1999 31 .034324944 15.847775 10001 2000 31 .04045259 16.063047 10001 2001 31 .014479034 21.434006 10001 2002 31 .05148184 18.261208 10001 2003 31 .02504035 14.498052 10001 2004 31 -.019113567 13.053552 10001 2005 31 -.0038112625 20.693075 10001 2006 31 -.010415178 23.62806 10001 2007 31 -.011975456 26.26866 10001 2008 31 0 . 10001 2009 31 .07914685 42.61047 10001 2010 31 .03093053 77.5947 10001 2011 31 .12666628 77.215 10001 2012 31 .09422629 77.65676 10001 2013 31 .08052262 99.48582 10001 2014 31 .06712958 91.15439 10001 2015 31 -.012140281 87.68191 10001 2016 31 -.005171608 81.96088 10005 1987 30 .3781348 1.6020927 10005 1988 30 -.1810711 -.6017088 10005 1989 30 -.1455224 .500192 10005 1990 30 -.11643836 .1881152 10008 1987 37 .204408 30.92898 10010 1987 12 .11231432 8.326125 10010 1988 12 .06663649 9.422201 10010 1989 12 .05054261 11.310566 10010 1990 12 .10119182 13.786797 10010 1991 12 .24213764 21.268665 10010 1992 12 .5559647 18.761076 10010 1993 12 .017546788 14.292902 10010 1994 12 .04017688 19.82808 10011 1989 34 .0909091 2.2761087 10011 1990 34 -.028803453 5.144608 10011 1991 34 .0002860874 3.970445 10011 1992 34 .07316551 5.957683 10011 1993 34 .07586353 11.00185 10011 1994 34 .12715423 19.569626 10011 1995 34 .07225019 41.40971 10011 1996 34 .12799267 54.94191 10012 1987 36 .03343465 .941472 10012 1988 36 .065835886 2.1 10012 1989 36 .3640013 1.4134848 10012 1990 36 .0584013 1.9598656 10012 1991 36 .014351524 .7809984 10012 1992 36 .05726042 1.90736 10012 1993 36 .09401021 7.05376 10012 1994 36 .03840654 2.750093 10012 1995 36 .07171157 13.061484 10012 1996 36 .082332 5.970317 10012 1997 36 .0996732 3.834701 10012 1998 36 .04621073 .50046074 10012 1999 36 .10174172 11.844986 10012 2000 36 .05729908 16.23216 10012 2001 36 .005248114 18.136518 10012 2002 36 .05214926 21.17378 10012 2003 36 .1680165 1.1921728 10012 2004 36 .332123 -6.476019 10013 1986 43 -.1810711 -.6549312 10015 1984 43 .2527202 10.256064 10015 1985 43 .4152678 18.35205 10016 1987 34 .01047645 411.6268 10016 1988 34 .018017886 466.9822 10016 1989 34 .024853826 436.9596 10016 1990 34 .02611605 458.196 10016 1991 34 .04128244 442.2518 10016 1992 34 .003306214 439.8621 10016 1993 21 .014929842 73.25308 10016 1994 36 -.008219238 34.93773 10016 1995 36 .006321449 74.28373 10016 1996 21 .010767601 119.01295 10016 1997 12 .0139951 92.25301 10016 1998 12 -.01380783 87.91341 10016 1999 12 -.007108844 134.7971 10016 2000 12 .05243158 151.80717 10017 1987 35 .09729575 165.37006 10018 1987 34 -.03789775 .680064 10018 1988 34 -.10606953 -.7718144 10018 1989 34 .23502925 .468384 10018 1990 34 -.02980405 1.1555264 10018 1991 34 -.04190169 1.73936 10018 1992 34 -.018299595 2.029843 10018 1993 41 .2964915 3.7178175 10018 1994 41 -.02196583 3.226048 10018 1995 41 .01983112 .7198016 10019 1987 37 .10795794 26.03073 10019 1988 37 .14190516 30.112703 10019 1989 37 .13675138 35.19497 10019 1990 37 .11970106 40.95643 end label values ff48 ff48 label def ff48 12 "Medical Equipment", modify label def ff48 21 "Machinery", modify label def ff48 30 "Petroleum and Natural Gas", modify label def ff48 31 "Utilities", modify label def ff48 34 "Business Services", modify label def ff48 35 "Computers", modify label def ff48 36 "Electronic Equipment", modify label def ff48 37 "Measuring and Control Equipment", modify label def ff48 41 "Wholesale", modify label def ff48 43 "Restaraunts, Hotels, Motels", modify
Here are my original code but showed error:
Code:
xtset permno fyear gen lag_V_P = l.V_P rangestat (reg) Inew lag_V_P i.ff48, interval(fyear -4 0) by(permno) factor variables not allowed r(101);
Any ideas?
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