Hi Everyone,

I am trying to estimate rolling betas by using the past 24-60 months of data. I require at least 24 months of non-missing observations in the past 60 months. For example, if a stock has 24 observations, I want to estimate betas until that month. Or, if a stock has N observation where 24<=N<=60 with at least 24 non-missing data, I again want to estimate until that month. To do that, I run the following:

rolling _b, window(60) saving(betas, replace) reject(e(N) < 24): regress exc_ret mktrf smb hml mom


However, I can not get any result when there are less than 60 and more than 24 months of observations. Let's say a stock starts to report in month t and has non-missing values until t+23. I also want to get estimates for that month since there are at least 24 months. I guess "window(60)" option does not allow me to get results when there are less than 60 observations. As far as I understand, this code checks whether there are 60 observations and at least 24 of them are non-missing.

Is there a way to solve this problem? Thanks.

Ulas