Hi for my thesis I have returns of multiple portfolios and have to regress them against returns of factor portfolios in a rolling window of 52 obs
In stata 10 asreg and rollreg do not seem to work and as it's the uni PC i can't update it.
Is there a way to do it in a loop, something like this:
In stata 10 asreg and rollreg do not seem to work and as it's the uni PC i can't update it.
Is there a way to do it in a loop, something like this:
Code:
forvalues i = 1/"nuber of observations"- 52 {
newey PBQ1 var24 SizeTLS momLS in i/i+51, lag(2)
}
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