Hello,

I am working on a project which requires testing the significance of a subset of of my regressors using progressively smaller time periods of panel data as follows:

forvalues i=1997/2016{
eststo clear
xi: reg Y i.X1 i.state i.year i.month if year>=`i'
eststo Y
testparm _X1__2-_X1__132
}

I want to save the F-statistic from each test of X1 (the test for 1991 -2016, 1992 - 2016, and so on). The end goal is to produce a figure which shows how the F-stat for joint significance of the ~130 X1 variables changes over the smaller periods of data.

Any help would be much appreciated!