Rolling beta

[Wessel de Kroo]

Hi everyone,

We have a dataset consisting of 25.000 different companies and 622 months (Panel data).
We would like to estimate cross-sectional beta's for each company based on a rolling time-window of 5 years, and store those in a new variable.

We have tried to use the rolling command but don't what know exactly the code would look like.

Thank you for your help and time and brainspillovers.

Thank you.

[Nick Cox]

http://www.statalist.org/forums/foru...entire-dataset

[Wessel de Kroo]

nick cox, such a boss. thank you as always