I have to make a double sorted portfolio analysis.
First I need to regress a simple linear model with 4 independent variables, and find the error term.
I need to do this for around 100 persons in a sample, in a quarterly time span for 6 years.
From the error term I should then estimate the standard deviation.
Then I need to categorize the standard deviations of the error terms into four portfolios, from low to high.
How could I estimate the error for all persons at every different time all at once?
The data that I use is in Excel and looks like this:
Dates Name Variable1 Variable2 ... etc
Q12013 X 100
Q22013 X 103
Q32013 X 122
Q42013 X 98
Q12014 X 128
.......
.....
Q12013 Y 110
Q22013 Y 105
Q32013 Y 132
Q42013 Y 39
Q12014 Y 138
.......
.....
Q12013 Z 87
Q22013 Z 115
Q32013 Z 139
Q42013 Z 87
Q12014 Z 132
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