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!
Related Posts with Rolling regressions with interrupted estimation periods (asreg or rolling?)
why do oprobit command and bioprobit&CMP comand get opposite results?Hello everyone! I am new here and am very happy to come to STATALIST! I am working on my paper with …
Stata Code transformed to R code -> is this possible?I am wondering, whether there is an option to transform the Stata code to a code in R programming la…
Graphing two continuous interactions in case of quadratic moderatorDear, First of all, I really thank you everyone here sparing no efforts to help the person like me.…
Syntax error in loop creationHi everyone, I am getting an error in the loop creation and cannot identify why. Any suggestions wo…
Problem with converting a cross-sectional dataset into panelGood afternoon, Attached is an extract of my dataset. I have cross-sectional data with two variable…
Subscribe to:
Post Comments (Atom)
0 Response to Rolling regressions with interrupted estimation periods (asreg or rolling?)
Post a Comment