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
FE and POLS same resultFor my master thesis I am trying analyse what are the determinants of Non Performing Loans on a samp…
Aggregating panel data to a weighted average mean by year and regionHello, I hope you are all doing fine! I have a panel dataset with over a thousand firm IDs and 397…
Rename variables based on a separate list of namesHello, I am working with a dataset of stock prices that has 505 variables (firms) with 1.578 observ…
Quarterly FormatHello, I have a longitudinal data set. Here, it is a quarterly data set, but the time format is Yea…
Interaction terms and subsequent stratified analyses, when using multiple imputation/chained equationsThank you in advance for any technical advice you can give. I am currently using MICE to address mi…
Subscribe to:
Post Comments (Atom)
0 Response to Storing Beta values by running regression loops on panel data
Post a Comment