Dear all,
on a large panel with daily stock market data I need to perform rolling regressions to compute daily abnormal returns. I use asreg when simply using an "uninterrupted" (for the lack of a better word) estimation window (like days-130 to -10 relative to the date of interest), which works nicely. However, I want to do the same for an estimation window with a gap around the date of interest (so days -70 to -10 and days +10 to + 70, but excluding the 20 days around the date of interest). To my understanding asreg can't do this, and I also couldn't implement it using rolling - any ideas how to address this, or did I overlook something?
Thanks a lot in advance!
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