Hi,
I have the daily data of ten years (from 2008 to 2018) with four variables: 1) Date 2) Firm Name 3) Firm return and 4) Market return. I have to obtain the beta values by running simple market model regression at the end of each month from the previous 12-month daily data. For example, if I want Beta at end of December 2008, then the STATA run a regression from Jan 2008 to Dec 2008 (on daily data) and store / provide beta value at end of (Dec 2008) each month (I guess through use of loop). I have converted the 'Date' into month number (i.e., Jan 2008 daily data is '542' in month column; Feb 2008 is 543 and so on).
Thanks
Related Posts with Storing Beta values by running regression loops on panel data
Analyzing two time points with regressionI am analyzing data with the mental health component score (measured 0-100) for 4500 individuals. Th…
Help with Stata's GraphsHi I'm trying to build a Graph on Stata but the variability of my Data is very high. I need to buil…
Attrition and OLS estimatosHow can I prove that the attrition bias affects or does not affect my OLS estimator? Can I do it wit…
Reg without constant termHi, I know that when I estimate a regression with fixed effects the constant term should not be inc…
Scatter of a localHi, is it not possible to create a scatter of a local variable? I'm evaluating the difference in the…
Subscribe to:
Post Comments (Atom)
0 Response to Storing Beta values by running regression loops on panel data
Post a Comment