Dear Statalisters,
I am running into an issue with rolling windows and I need your kind help with this.
I want to run a loading-estimation regression for each portfolio of the 25 portfolios:
∑_(j=1)^3▒〖r_i,t+j=β_0+β_rm ∑_(j=1)^3▒〖r_m ,_(t+j)+β_vs (VS_(t+3)-VS_t )+β_TY (TY_(t+3)-TY_t )+ε_i,t+3〗〗
where r_i is the log return for portfolio i for month t. the regression is reestimated from a rolling 36-month window of overlapping observations for each portfolio
here is my dataset :
----------------------- copy starting from the next line -----------------------
------------------ copy up to and including the previous line ------------------
Listed 100 out of 3285 observations
Use the count() option to list more
.
I am running into an issue with rolling windows and I need your kind help with this.
I want to run a loading-estimation regression for each portfolio of the 25 portfolios:
∑_(j=1)^3▒〖r_i,t+j=β_0+β_rm ∑_(j=1)^3▒〖r_m ,_(t+j)+β_vs (VS_(t+3)-VS_t )+β_TY (TY_(t+3)-TY_t )+ε_i,t+3〗〗
where r_i is the log return for portfolio i for month t. the regression is reestimated from a rolling 36-month window of overlapping observations for each portfolio
here is my dataset :
----------------------- copy starting from the next line -----------------------
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input int mdate str7 portfolio long Date double(R_Me TY PE VS EtR_Me N_dr N_cf Rrf return) int year float(beta_cf beta_dr beta) -372 "FFS1BM1" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0294 1929 .05924752 .3262584 .3855059 -372 "FFS1BM2" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0725 1929 -.06193411 .4790082 .41707405 -372 "FFS1BM3" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0359 1929 .00982766 .4029027 .4127304 -372 "FFS1BM4" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0342 1929 -.005368913 .5225681 .5171992 -372 "FFS1BM5" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .045 1929 -.019985776 .5527377 .5327519 -372 "FFS2BM1" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0263 1929 .0032415094 .6284044 .6316459 -372 "FFS2BM2" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0154 1929 -.020822156 .5552655 .5344433 -372 "FFS2BM3" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0048 1929 .0042878776 .4580335 .4623214 -372 "FFS2BM4" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 -.0119 1929 .0352345 .3948077 .4300422 -372 "FFS2BM5" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 -.0098 1929 -.00009482048 .5912477 .59115285 -372 "FFS3BM1" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0085 1929 .011321996 .6915067 .7028287 -372 "FFS3BM2" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .061 1929 .001216485 .5897798 .59099627 -372 "FFS3BM3" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 -.0185 1929 .009671984 .29456446 .3042364 -372 "FFS3BM4" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0347 1929 -.011182434 .5506634 .539481 -372 "FFS3BM5" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0294 1929 .01597782 .55004495 .56602275 -372 "FFS4BM1" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0387 1929 .02939587 .7167775 .7461734 -372 "FFS4BM2" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0368 1929 -.012668965 .55318886 .5405199 -372 "FFS4BM3" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0458 1929 .015964294 .4676221 .4835864 -372 "FFS4BM4" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 -.0053 1929 -.007218322 .4046834 .39746505 -372 "FFS4BM5" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0429 1929 .03732603 .5744621 .6117882 -372 "FFS5BM1" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0578 1929 .036220156 .6428615 .6790817 -372 "FFS5BM2" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0972 1929 .010005615 .7341053 .7441109 -372 "FFS5BM3" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0298 1929 .008297929 .5592648 .5675627 -372 "FFS5BM4" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0526 1929 .003646429 .440443 .4440894 -372 "FFS5BM5" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 -.0064 1929 .0008559166 .3263886 .3272445 -372 "RISK1" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .098431561 1929 .028652295 .7569353 .7855876 -372 "RISK10" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0061030286 1929 .062652744 .727827 .7904797 -372 "RISK11" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .098908375 1929 .02620109 .6222121 .6484131 -372 "RISK12" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .062109543 1929 -.03625267 .666667 .6304144 -372 "RISK13" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .093045235 1929 .013913565 .6706531 .6845667 -372 "RISK14" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .03877791 1929 .014974905 .745456 .7604309 -372 "RISK15" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 -.01948815 1929 .05293516 .7823805 .8353156 -372 "RISK16" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .04721912 1929 .0355169 .5424857 .57800263 -372 "RISK17" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .040854409 1929 -.004129561 .3801437 .3760142 -372 "RISK18" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0034716927 1929 .024188194 .4141795 .4383677 -372 "RISK19" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .06832487 1929 -.00048961496 .56538683 .56489724 -372 "RISK2" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .053369589 1929 -.0224927 .4826655 .4601728 -372 "RISK20" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .15243614 1929 .04937126 .7318066 .7811779 -372 "RISK3" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .032101969 1929 .006431182 .4661315 .4725627 -372 "RISK4" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .088620282 1929 .028872114 .6427931 .6716652 -372 "RISK5" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .11580332 1929 .033250034 .8001252 .8333753 -372 "RISK6" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .041898925 1929 .034086682 .37238285 .4064695 -372 "RISK7" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .0062128445 1929 .003068335 .52689254 .5299609 -372 "RISK8" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .087512204 1929 .02363682 .58461994 .6082568 -372 "RISK9" 192901 .047326726 -.75 3.2885226 1.8517692 -.011840795 .093003782 -.033836261 .004583356 .061116683 1929 -.00983582 .7372195 .7273837 -360 "FFS1BM1" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 -.0276 1930 .8514435 1.4963475 2.3477912 -360 "FFS1BM2" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .179 1930 .3367208 1.5055708 1.8422916 -360 "FFS1BM3" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .2242 1930 .05446751 1.562088 1.6165555 -360 "FFS1BM4" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .1107 1930 .28239095 .9522714 1.2346623 -360 "FFS1BM5" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .1209 1930 .25897858 1.315512 1.5744907 -360 "FFS2BM1" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .1055 1930 .07765845 1.057515 1.1351734 -360 "FFS2BM2" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0759 1930 .22215386 1.0263426 1.2484965 -360 "FFS2BM3" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0733 1930 .17719717 .9164881 1.0936853 -360 "FFS2BM4" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0713 1930 .2434063 1.102811 1.3462173 -360 "FFS2BM5" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .1341 1930 .3220559 1.3403084 1.6623644 -360 "FFS3BM1" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0827 1930 .2048683 .9816515 1.1865199 -360 "FFS3BM2" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .1103 1930 .3170917 1.1434426 1.4605343 -360 "FFS3BM3" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0568 1930 .17558993 .9498575 1.1254474 -360 "FFS3BM4" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0634 1930 .24670826 1.2003797 1.447088 -360 "FFS3BM5" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0235 1930 .3086642 1.372513 1.681177 -360 "FFS4BM1" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0973 1930 .23327154 1.1514522 1.3847237 -360 "FFS4BM2" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0735 1930 .22635753 .9152788 1.1416364 -360 "FFS4BM3" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0578 1930 .13564633 .8470545 .9827009 -360 "FFS4BM4" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0392 1930 .22174554 .9943134 1.216059 -360 "FFS4BM5" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0352 1930 .3222606 1.2576398 1.5799004 -360 "FFS5BM1" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0675 1930 .21648957 1.0605837 1.2770733 -360 "FFS5BM2" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0582 1930 .17482665 .9223513 1.097178 -360 "FFS5BM3" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0144 1930 .12300026 .95253 1.0755303 -360 "FFS5BM4" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0457 1930 .08322594 .842245 .9254709 -360 "FFS5BM5" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 -.0093 1930 .0595389 .7976518 .8571907 -360 "RISK1" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 -.0017166322 1930 .14502192 .8435753 .9885972 -360 "RISK10" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .099690376 1930 .2652537 1.4115243 1.676778 -360 "RISK11" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .054981765 1930 .17238738 .856903 1.0292904 -360 "RISK12" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .058936974 1930 .2021969 .9037679 1.1059649 -360 "RISK13" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .037711523 1930 .19930057 .8474494 1.04675 -360 "RISK14" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .093524578 1930 .27839682 1.1880533 1.46645 -360 "RISK15" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .088494497 1930 .381925 1.6126454 1.9945704 -360 "RISK16" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .010481391 1930 .08959346 .7620437 .8516371 -360 "RISK17" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .019530484 1930 .063040785 .7007203 .7637611 -360 "RISK18" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .040227866 1930 .15270185 .7582238 .9109257 -360 "RISK19" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .069703499 1930 .211524 1.0842286 1.2957526 -360 "RISK2" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .038348348 1930 .0975077 .8845042 .9820119 -360 "RISK20" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .092581748 1930 .3060017 1.4533845 1.7593862 -360 "RISK3" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .039177107 1930 .29500562 .9773009 1.2723064 -360 "RISK4" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .053244606 1930 .2137086 1.1145675 1.328276 -360 "RISK5" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .08175016 1930 .3345693 1.5580887 1.892658 -360 "RISK6" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .057623705 1930 .13980031 .5836796 .7234799 -360 "RISK7" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .031550058 1930 .03155405 .6354066 .6669606 -360 "RISK8" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .054729526 1930 .2091765 .7284901 .9376665 -360 "RISK9" 193001 .050306074 -.21 3.1068586 1.7823571 -.0045525239 .033381586 .021477012 .004067247 .0782001 1930 .2264739 1.1742008 1.4006747 -348 "FFS1BM1" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 -.2396 1931 .53487426 1.496919 2.0317934 -348 "FFS1BM2" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 .278 1931 .4120084 1.8344772 2.2464857 -348 "FFS1BM3" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 -.0638 1931 .51941764 2.202763 2.722181 -348 "FFS1BM4" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 .1587 1931 .53789824 2.0833216 2.62122 -348 "FFS1BM5" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 .207 1931 .6080906 2.3335495 2.94164 -348 "FFS2BM1" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 .0913 1931 .3761408 1.270577 1.6467175 -348 "FFS2BM2" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 .1287 1931 .3867088 1.3341855 1.7208943 -348 "FFS2BM3" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 .0856 1931 .3951588 1.5664396 1.9615984 -348 "FFS2BM4" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 .1513 1931 .49635255 1.8770934 2.373446 -348 "FFS2BM5" 193101 .058128412 .32 2.7409704 2.1235241 -.010630567 .079554558 -.010795579 .002291752 .1669 1931 .6203617 2.0933096 2.713671 end format %tm mdate
Listed 100 out of 3285 observations
Use the count() option to list more
.
Comment