Hi all,

I have got a large dataset available which has 14 yearly datapoints for several independent variables available for a large number of firms.
I am trying to build a code which loops a number of regressions for a firm. Please see attached a data file which has the variables for two firms.

Precisely, I want the code to regress the data from t-14 until and including t-5 to forecast t+5 (In the dataset the time is given without the 't', as I couldn't find how to add this). In all of these regressions, the dependent variable is E_Next_T and all the independent variables are NegE, E, NegE_Times_E, B and TACC.

Then I want the code to regress the data from t-13 until and including t-4 to forecast t+4, regress t-12 until and including t-3 to forecast t+3, regress t-11 until and including t-2 to forecast t+2, regress t-10 until and including t-1 to forecast t+1.

This way I will find a wide number of outcomes for each independent variable, and I would like Stata to store every factor obtained from the regressions for every independent variable for T+1, t+2, t+3, t+4 and t+5 (I need them later to backtest whether E_Next_T is similar to the real values). So, I need to store the independent variables obtained from the regressions and their p-values in vectors.

Then, I want Stata to do this exact same process for every firm.

Could anyone please help me? I've provided a sample data set here:

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(Time Firm NegE E NegE_Times_E B TACC E_Next_T group)
-14 1 0 -50   0 4000 234 200 1
-13 1 1 200 200 4000 452 -40 1
-12 1 0 -40   0 4200 534 400 1
-11 1 1 400 400 4200 123 300 1
-10 1 1 300 300 4200 342 -10 1
 -9 1 0 -10   0 4200 454 430 1
 -8 1 1 430 430 4200 235 520 1
 -7 1 1 520 520 4200 672 -20 1
 -6 1 0 -20   0 3900 312 420 1
 -5 1 1 420 420 3900 213 350 1
 -4 1 1 350 350 3900 673 230 1
 -3 1 1 230 230 4000 456 300 1
 -2 1 1 300 300 4000 345 240 1
 -1 1 1 240 240 4000 734 345 1
-14 2 0 -40   0 7000 741 340 2
-13 2 1 340 340 7000 734 560 2
-12 2 1 560 560 7000 236 700 2
-11 2 1 700 700 7000 452 800 2
-10 2 1 800 800 7000 752 -25 2
 -9 2 0 -25   0 7000 348 300 2
 -8 2 1 300 300 7000 742 350 2
 -7 2 1 350 350 7000 345 360 2
 -6 2 1 360 360 7400 435 400 2
 -5 2 1 400 400 7400 345 450 2
 -4 2 1 450 450 7400 673 430 2
 -3 2 1 430 430 7400 634 470 2
 -2 2 1 470 470 7400 237 500 2
 -1 2 1 500 500 7400 732 470 2
end