Hi All,
Thanks for reading.
I currently have daily time series data for the periods from July 2010 to March 2019. I am looking to run a regression for every month against 3 independent variables in order to record the daily residual values.
I am attempting to follow these instructions: "Regressions are conducted every month for each stock with its idiosyncratic risk for the particular month represented by the standard deviation of the regression residuals."
So after the daily residuals are recorded using data from the first month (Jul 2010), data from the second month (Aug 2010) is regressed against the second month independent variables and again the residuals are recorded and so on until the last month (Mar 2019).... if my understanding is correct.
Any help would be greatly appreciated.
Thanks in advance.
Alex
Related Posts with Monthly rolling regressions - recording residuals
Is it possible to tag duplicates sequentially?Hi Everyone! My data looks like below and I request for any syntax that helps to tag the duplicates …
Using -xtologit- postestimation tools (particularly margins) when independent variables include an interaction of two binary variablesHi Users, Long time quiet reader, first time poster - I hope I have followed the community recommen…
Tabulating (counting) within many groups in a dataset does one company appearHello, I'm working with a many:1 dataset where each observation represents a single insurance polic…
Merging two datasetsHello, I have to merge two datasets. The key variable is str32. The problem I'm facing is that in o…
dpplot command, use xline() option but not showing the vertical line in graphDear Statalist: I am trying to draw a density probability plots. I am using dpplot in Stata 17 MP.…
Subscribe to:
Post Comments (Atom)
0 Response to Monthly rolling regressions - recording residuals
Post a Comment