Rolling window using Xtreg and saving betas

[Daniel Abib]

Hi all,
The project I'm working on currently needs a rolling window estimation using xtreg on a unbalanced panel since fixed effects yield so much better results. Therefore, I can't use "rolling" which only accepts reg command.
Specifically, what I need to to is to keep track of one of the betas of xtreg X1 X2... over the windows.
I need to save its value, statistical significance and confidence interval for each period, so I can build a time series for it.
So how would I be able to save the values in a loop and store them in a matrix that I can access and export later?
thank you, any help will be appreciated.

[Attaullah Shah]

If it is a fixed effect model, you can create dummy variable for each cross-sectional unit and the use asreg (from SSC). asreg is super fast and works with rolling windows and groups. More on asreg here https://fintechprofessor.com/2017/12...ions-in-stata/

[Daniel Abib]

Thank you for your answer Attaullah,
I had actually checked asreg, however I don't know if it is compatible with xtreg and its various options. I'm using vce(robust) for example.
I can only use a command that replicates the exact specification from xtreg if it cannot use xtreg itself.