Hello Dear Statalist,
I have an unbalanced panel data, that contains the mutual funds, their returns and the name of the managers/team that manage the funds.I have monthly data for 20 years for more than 3500 funds I have to investigate the riskiness and performance of single vs team managed funds.
I have to run rolling regression over the past 12 consecutive month in order to estimate the fund betas and alphas. So I will obtain the systematic risk of funds. I am using the following code:
rolling, window(12) reject(e(N)<12) saving(stats, replace): reg mretrf mktrf, vce(robust)
My problem is that I don't know which command to use to obtain the standard deviation of fund i's residual fund return from this model. Could someone provide me the needed code? Thanks in advance!
I have an unbalanced panel data, that contains the mutual funds, their returns and the name of the managers/team that manage the funds.I have monthly data for 20 years for more than 3500 funds I have to investigate the riskiness and performance of single vs team managed funds.
I have to run rolling regression over the past 12 consecutive month in order to estimate the fund betas and alphas. So I will obtain the systematic risk of funds. I am using the following code:
rolling, window(12) reject(e(N)<12) saving(stats, replace): reg mretrf mktrf, vce(robust)
My problem is that I don't know which command to use to obtain the standard deviation of fund i's residual fund return from this model. Could someone provide me the needed code? Thanks in advance!
Comment