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