Hi everyone,
I would like to get some answers to the doubts I have with regard to the rolling command. First of all, I will explain what I want to get with the rolling window regressions. I have 9,630 columns (each of one representing a dependent variable) plus 4 columns (each representing an independent variable). Moreover, each column is divided into different rows, each row representing one month from January 2000 to December 2013.
I want to estimate a series of coefficients by using a rolling window regression with window equal to three years or 36 months, and by regressing each dependent variable on the four independent variables mentioned. My question is if I have to carry out 9,630 rolling window regressions (as I have 9,630 dependent variables) or is there a much shorter way of doing this. Moreover, I would like to know how can I store the estimated coefficients on a file. If you are able to give me an intuition of the command I would have to enter that would be also welcomed. Thank you in advance.
I would like to get some answers to the doubts I have with regard to the rolling command. First of all, I will explain what I want to get with the rolling window regressions. I have 9,630 columns (each of one representing a dependent variable) plus 4 columns (each representing an independent variable). Moreover, each column is divided into different rows, each row representing one month from January 2000 to December 2013.
I want to estimate a series of coefficients by using a rolling window regression with window equal to three years or 36 months, and by regressing each dependent variable on the four independent variables mentioned. My question is if I have to carry out 9,630 rolling window regressions (as I have 9,630 dependent variables) or is there a much shorter way of doing this. Moreover, I would like to know how can I store the estimated coefficients on a file. If you are able to give me an intuition of the command I would have to enter that would be also welcomed. Thank you in advance.
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