Rolling Regression R-squared

[Mark Collister]

Hello there,

I am doing a rolling regression and I want to capture the R-squared of the Modell. Does anyone know how to do this?

tsset Country date
rolling _b _se (df: r = e(df_r)), window(365) stepsize(365) : regress depvar indepvar , vce(r) 
gen p = 2*ttail(df_r,abs(_b_cons/_se_cons))

Thank you

[Dave Airey]

https://stats.stackexchange.com/ques...on-in-stata-12

[Mark Collister]

Thank you very much Dave this works. But how do I interpret the single resulting R2s? Do I get the R2 for the whole regression by taking the mean?