storing the constant from regression

[Hugo van Ginkel]

Dear All,

I am struggling with my research. I have a panel data sets with roughly 15.000 companies with 25 years of monthly returns. I want to run a the following regression for each company sperately:

reg excess MktRF SMB HML RMW CMA RF

After this regression, i want to store the constant of each regression. So I can rank the companies based on this constant.

I already tried the following code, but it was not working

tempname myresult
 quietly foreach `v' in idd{
reg excess MktRF SMB HML RMW CMA RF
post `myresult' (`x') (`= _b[_cons]'
}

postclose `myresult'
use myresult

Where did i made the mistake?


here also an example of my dataset.

* Example generated by -dataex-. To install: ssc install dataex
clear
input float monthly long idd double(MktRF SMB HML RMW CMA) float excess
388 16831 . . . . . .
388  6358 . . . . . .
388  5798 . . . . . .
388 10420 . . . . . .
388   974 . . . . . .
388 11030 . . . . . .
388  7823 . . . . . .
388  6456 . . . . . .
388  4740 . . . . . .
388  4547 . . . . . .
388 13377 . . . . . .
388 12668 . . . . . .
388 14502 . . . . . .
388  6757 . . . . . .
388   506 . . . . . .
388 10117 . . . . . .
388  6295 . . . . . .
388 13727 . . . . . .
388  1837 . . . . . .
388  5953 . . . . . .
388  3501 . . . . . .
388  6783 . . . . . .
388  4089 . . . . . .
388  7899 . . . . . .
388  7142 . . . . . .
388  9471 . . . . . .
388  7993 . . . . . .
388  2652 . . . . . .
388  5082 . . . . . .
388 10705 . . . . . .
388  8508 . . . . . .
388  6474 . . . . . .
388  5426 . . . . . .
388  5788 . . . . . .
388 11116 . . . . . .
388 17365 . . . . . .
388  3921 . . . . . .
388 16109 . . . . . .
388  4276 . . . . . .
388  4319 . . . . . .
388 14529 . . . . . .
388 16723 . . . . . .
388  5802 . . . . . .
388   509 . . . . . .
388 16511 . . . . . .
388 14195 . . . . . .
388  7277 . . . . . .
388   202 . . . . . .
388 15575 . . . . . .
388 12296 . . . . . .
388  1820 . . . . . .
388  6178 . . . . . .
388  1481 . . . . . .
388  7713 . . . . . .
388 15797 . . . . . .
388 14239 . . . . . .
388 11611 . . . . . .
388 13748 . . . . . .
388  6054 . . . . . .
388 11546 . . . . . .
388 10356 . . . . . .
388  3768 . . . . . .
388  4353 . . . . . .
388  3444 . . . . . .
388  7173 . . . . . .
388 16650 . . . . . .
388 15824 . . . . . .
388  7180 . . . . . .
388  1273 . . . . . .
388  6487 . . . . . .
388 11565 . . . . . .
388  6120 . . . . . .
388 14252 . . . . . .
388 12766 . . . . . .
388 14958 . . . . . .
388  3072 . . . . . .
388  4733 . . . . . .
388 12910 . . . . . .
388 16847 . . . . . .
388   847 . . . . . .
388  4472 . . . . . .
388 17485 . . . . . .
388  5269 . . . . . .
388  4054 . . . . . .
388  2694 . . . . . .
388  5487 . . . . . .
388 12212 . . . . . .
388  1479 . . . . . .
388  8890 . . . . . .
388  5172 . . . . . .
388   848 . . . . . .
388 17650 . . . . . .
388  7773 . . . . . .
388 11586 . . . . . .
388  1348 . . . . . .
388  6942 . . . . . .
388  9786 . . . . . .
388  4708 . . . . . .
388   510 . . . . . .
388 13210 . . . . . .
end
format %tm monthly
label values idd idd
label def idd 202 "AT0000675657(P)", modify
label def idd 506 "AT0000764741(P)", modify
label def idd 509 "AT0000764774(P)", modify
label def idd 510 "AT0000764782(P)", modify
label def idd 847 "AT0000A08LF4(P)", modify
label def idd 848 "AT0000A08S86(P)", modify
label def idd 974 "AT0000A0J8T8(P)", modify
label def idd 1273 "BE0167676601(P)", modify
label def idd 1348 "BE0172712524(P)", modify
label def idd 1479 "BE0944721381(P)", modify
label def idd 1481 "BE0944803239(P)", modify
label def idd 1820 "BE6217705050(P)", modify
label def idd 1837 "BE6224091866(P)", modify
label def idd 2652 "CH0034886173(P)", modify
label def idd 2694 "CH0039208126(P)", modify
label def idd 3072 "CH0180953181(P)", modify
label def idd 3444 "DE0005324388(P)", modify
label def idd 3501 "DE0008471715(P)", modify
label def idd 3768 "DE0009779546(P)", modify
label def idd 3921 "DE000A0ES8W6(P)", modify
label def idd 4054 "DE000A0NAUK8(P)", modify
label def idd 4089 "DE000A0RCCX6(P)", modify
label def idd 4276 "DK0010260629(P)", modify
label def idd 4319 "DK0010310077(P)", modify
label def idd 4353 "DK0016208515(P)", modify
label def idd 4472 "DK0060244408(P)", modify
label def idd 4547 "EE3600095295(P)", modify
label def idd 4708 "ES0114812037(P)", modify
label def idd 4733 "ES0115324032(P)", modify
label def idd 4740 "ES0115352033(P)", modify
label def idd 5082 "ES0164467005(P)", modify
label def idd 5172 "ES0175174038(P)", modify
label def idd 5269 "FI0008801592(P)", modify
label def idd 5426 "FI0008807086(P)", modify
label def idd 5487 "FI0008808761(P)", modify
label def idd 5788 "FR0000003188(P)", modify
label def idd 5798 "FR0000008674(P)", modify
label def idd 5802 "FR0000010993(P)", modify
label def idd 5953 "FR0000288086(P)", modify
label def idd 6054 "FR0000430639(P)", modify
label def idd 6120 "FR0000442329(P)", modify
label def idd 6178 "FR0000447633(P)", modify
label def idd 6295 "FR0000974933(P)", modify
label def idd 6358 "FR0000982209(P)", modify
label def idd 6456 "FR0000989022(P)", modify
label def idd 6474 "FR0000990608(P)", modify
label def idd 6487 "FR0000991754(P)", modify
label def idd 6757 "FR0007046065(P)", modify
label def idd 6783 "FR0007050232(P)", modify
label def idd 6942 "FR0007080395(P)", modify
label def idd 7142 "FR0007497656(P)", modify
label def idd 7173 "FR0010013987(P)", modify
label def idd 7180 "FR0010018192(P)", modify
label def idd 7277 "FR0010077818(P)", modify
label def idd 7713 "FR0010285874(P)", modify
label def idd 7773 "FR0010311993(P)", modify
label def idd 7823 "FR0010339481(P)", modify
label def idd 7899 "FR0010377549(P)", modify
label def idd 7993 "FR0010449231(P)", modify
label def idd 8508 "FR0010668145(P)", modify
label def idd 8890 "FR0010929703(P)", modify
label def idd 9471 "FR0011759299(P)", modify
label def idd 9786 "GB0002050432(P)", modify
label def idd 10117 "GB0005627822(P)", modify
label def idd 10356 "GB0007434136(P)", modify
label def idd 10420 "GB0007677031(P)", modify
label def idd 10705 "GB0030285372(P)", modify
label def idd 11030 "GB0031560294(P)", modify
label def idd 11116 "GB0031811739(P)", modify
label def idd 11546 "GB0033589226(P)", modify
label def idd 11565 "GB0033702944(P)", modify
label def idd 11586 "GB0033737874(P)", modify
label def idd 11611 "GB0033882860(P)", modify
label def idd 12212 "GB00B0T50V66(P)", modify
label def idd 12296 "GB00B119QQ08(P)", modify
label def idd 12668 "GB00B1VKSD43(P)", modify
label def idd 12766 "GB00B1XMSK57(P)", modify
label def idd 12910 "GB00B24CSW38(P)", modify
label def idd 13210 "GB00B39RN144(P)", modify
label def idd 13377 "GB00B3KD9Q85(P)", modify
label def idd 13727 "GB00B4NVLL51(P)", modify
label def idd 13748 "GB00B4Q8LG85(P)", modify
label def idd 14195 "GB00B6236B14(P)", modify
label def idd 14239 "GB00B6449M48(P)", modify
label def idd 14252 "GB00B64TSD33(P)", modify
label def idd 14502 "GB00B74YXH41(P)", modify
label def idd 14529 "GB00B76N7B10(P)", modify
label def idd 14958 "GB00B8440Z89(P)", modify
label def idd 15575 "GB00BCZNXX14(P)", modify
label def idd 15797 "GB00BJ04HP86(P)", modify
label def idd 15824 "GB00BJ0KH452(P)", modify
label def idd 16109 "HU0000708805(P)", modify
label def idd 16511 "IT0004380314(P)", modify
label def idd 16650 "LI0015977106(P)", modify
label def idd 16723 "LI0029404063(P)", modify
label def idd 16831 "LI0126894554(P)", modify
label def idd 16847 "LI0138754903(P)", modify
label def idd 17365 "NO0010325715(P)", modify
label def idd 17485 "PLPPTFI00147(P)", modify
label def idd 17650 "SE0000569667(P)", modify

[Scott Merryman]

Your sample data set appears to have all missing observations, you have not declared the new variables and data set with a postfile, neither `v' nor `x' are defined, you are not regressing each company separately, and you have an open parenthesis. Perhaps this example will help:

webuse grunfeld,clear

tempname memhold
tempname results
postfile `memhold' company myconstant using `results', replace
levelsof company, local(levels)
foreach l of local levels {
    qui reg invest mvalue if company == `l'
    post `memhold' (`l') (_b[_cons])
}
postclose `memhold'
use `results'
l

[Carlo Lazzaro]

Hugo:
in your example you included one observation only per panel and all predictors are totally missing: in this scenario, no regression is feasible.
That said, the following code will consider only the regressand; it's up tp you to tweak the code according to your need:

replace excess=runiform()
g double x=.
forval  i = 1(1)100 {
quietly reg excess
replace x=_b[_cons] in `i'
}

PS: crossed in the cyberspace with Scott's more advanced approach.

[Hugo van Ginkel]

Dear Carlo,

Thanks for your quick respons, your code works perfectly. but not in the way I need it. This is my mistake, because my explanation and data example was very poor. So, i will eloborate a bit more.

Let me start with the dataset:

input str10 Date float id double price str49 Name float monthly long idd float ri double(MktRF SMB HML RMW CMA RF MoM) byte _merge
" 5/12/1992" 10812      . "STANDARD JAPANESE EQ. MANAGER OF MGRS.INST ACC"    388 11671 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"   470      . "ROBECO INST WERELDWIJD AANDELEN FONDS I"           388 17003 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"   233      . "EIKA GLOBAL"                                       388 17314 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3804      . "ENTERKAPITAL ENTER SELECT PRO"                     388 17806 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 17994      . "CERES JAPON A EUR DISSOLVED 28/12/10"              388  7984 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 15534      . "AVIVA INVESTORS ACTIONS EURO ID"                   388  9009 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 10473      . "SARASIN RESPONSIBLE GLOBAL EQUITY A INC"           388 13782 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3125      . "HBM GLOBAL BIOTECHNOLOGY FUND -EUR-"               388 16835 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 14409      . "FLORNOY VLR.FAMILIALES R FLORNOY &.ASSOCIES GEST." 388  9142 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 16778      . "AMUNDI FRN.MIDCAP EURO I MERGED SEE 881148"        388  7428 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1300      . "BNP PARIBAS B I EQUITY EUROPE EMERGING CAP"        388  1212 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  9882      . "SELIGSON & CO PHOENIX K"                           388  5678 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  8282      . "RAIFFEISEN TECHNOLOGIE AKTIEN R A C PLAN"          388   239 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3302      . "DNB NOR KAPFORV.NORGE I DEAD - Merged:72935P"      388 17240 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 14146      . "JPM US A INC. DEAD - Merged:53570U"                388 12777 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"   808   5.25 "NEXTRA BLUE CHIPS INTZI. MERGED SEE 323870"        388 16210 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  5406      . "IM ARGONAUT EUR.ENH. INC.I INC GBP"                388 14642 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3414      . "IFM INDEPENDENT FUND UNSUPPORTED"                  388 16613 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 11318      . "INSIGHT EQUITY INCOME BOOSTER INST W INC"          388 15209 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3681      . "BANCO FUNDS HUMANFONDEN"                           388 17690 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 16769      . "GOUPIL PERF.GESTION UNSUPPORTED"                   388  7998 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  8585      . "FD.MAN.SWITZ.AG CH INST 2 EQ.GLB.PAS B"            388  2375 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 11591      . "BAILLIE GIFF UK EQUITY ALPHA B INC."               388 10180 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 10382      . "FP RUSSELL INV INTERNATL GRO ASSTS A INC"          388 13682 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 13046      . "KAMES UK SMALLER COMPANI D ACC"                    388 14730 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  6731      . "UNIVERSAL INV.OPTINOVA INV.AG GLB.VAL.EQ."         388  4164 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 10406      . "BAILLIE GIFFORD GLB.ALP. GW.FD.B AC.CLASS"         388 14177 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 15960      . "UFF CROISSANCE PME"                                388  7722 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  2453      . "DEXIA EQTIES.B EMU SMALL MERGED SEE 685648"        388  1507 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  6367      . "C-QUADRAT APM ASIA QUAL STOCKS AMI EUR I (T)"      388  4069 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3468      . "AEGON ISTAN BULL RESZVENY BA"                      388 16149 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 17482      . "INDOSUEZ AMERIQUE INDEX MERGED SEE 51139L"         388  6312 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 10271      . "CONFEDTN.LF.INTL.FD.III"                           388  9804 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 16469      . "DYNALION ZONE EURO (C) MERGED SEE 868544"          388  6412 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 15851      . "SEXTANT PEA (C) FINANCIERE DE"                     388  7714 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 14067      . "NATWEST EIF NTH.AMER.EQ. SR.2 INC.FD."             388 10510 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"   122      . "INFOND DELNISKI DEAD - Merged:9113D9"              388 18094 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  2109      . "PETERCAM EQUITIES EUROPE SUSTAINABLE V"            388  1931 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 10569      . "SARASIN EQUISAR IIID P DELISTED"                   388 14981 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1826      . "IMGA ACCOES EUROPA"                                388 17516 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  8724      . "BCV SYSTEMATIC PREMIA EUROPE EQUITY C"             388  2835 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1169      . "HANDELSINVEST FJERNOSTEN"                          388  4343 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3690      . "SEB ASSET MANAGEMENT NORDAMERIKA"                  388 17780 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  5872      . "CAPITA FINL.MELCHIOR PAN DELISTED"                 388 12620 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  7434      . "PIA EASTERN EU.STOCK VI"                           388   104 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3807      . "EVLI NORTH AMERICA A"                              388  5422 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  7873      . "ESPA STOCK ADRIATIC T DEAD - Liquidated"           388   814 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 13882      . "LF MITON UK MULTI CAP INCOME RET A INC"            388 14327 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  7435      . "ALLIANZ INV.AUSTRIA PLUS"                          388   103 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3301      . "DNB NOR KAPFORV.AVANSE NORGE I"                    388 17239 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 14380      . "FIDELITY FNW PFMGR ADVENTUROUS A"                  388 13078 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  7255      . "KLASSIK AKTIEN R T"                                388   605 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 12615      . "NEW STAR GLB.FINLS.B EUR DEAD"                     388 13115 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  9810      . "DNB NAVIGATOR (II)"                                388 17263 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  7813      . "HIDDEN PEARL VALUE FUND I VA"                      388  1005 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  2658      . "IBERCAJA FINO."                                    388  5004 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1188      . "GENERALI GOLD KOZEP- KELET-EUROPAI RESZVENY A"     388 16077 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  2480      . "SANTANDER BANIF ABN RV UNSUPPORTED"                388  4650 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  6483      . "LB.BL.INV.KEPPLER EMRG.MKTS.LBB INVEST"            388  3920 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  6298      . "HERIOT GLOBAL B INC"                               388 15392 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 15604      . "BERYLLIUM"                                         388  8159 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 10549      . "MFM SGC GLOBAL EQUITIES DELISTED"                  388 14517 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3643      . "SABADELL ESTADOS UNIDOS BOLSA BASE FI"             388  4961 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 15443      . "CENTIFOLIA E DNCA FIN."                            388  8144 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"   587      . "KUTXABANK BOLSA INTNAC.ESTANDAR.FI"                388  4661 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  8776      . "BB ADAMANT GLOBAL BIOTECH D KLASSE"                388  2906 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  2650      . "KUTXABANK BOLSA JAPON ESTANDAR FI"                 388  4675 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 13068      . "CF MITON UK SMALLER COMPANIES N ACC"               388 14750 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1852      . "GYLLENBERG FD.LTD. FINLANDIA B"                    388  5296 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  6891      . "HELABA INVEST HI HT INDIVIDUAL W"                  388  4007 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 10281      . "CF MQR.GLB.INFR. SECS B ACC"                       388 12683 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 14117      . "CF GREENWICH AC. DEAD - Liquidated"                388 11642 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 14609      . "INDOSUEZ EUROPE PATRIMOINE P D"                    388  6911 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  7713      . "AKTIENFONDS DEUTSCHLAND DELISTED 15/06/10"         388   829 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  7411      . "RAIFF.NACHHL. AKN. R VTA"                          388   207 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  3193      . "BANIF ACCOES PORTUGAL DEAD - Liquidated"           388 17513 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 16715      . "ABERDEEN FRANCE II C MERGED SEE 259634"            388  7784 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  6604      . "HELABA INVEST MBH HI AKTIEN EUROLAND FONDS"        388  3929 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 14550      . "TOP EUROPE PATRIVAL"                               388  6674 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 13480 254.25 "ROYAL LONDON UK EQUITY INCOME A INC"               388 14305 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1842      . "ANIMA INIZIATIVA EUROPA A"                         388 16383 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  2641      . "ROYAL PRECIOUS METALS FUND"                        388 16862 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 11687      . "AVIVA INVESTORS UK EQUITY SC 2 ACC"                388 10030 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1222      . "JOM SILKKITIE ASIA"                                388  5632 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 12511      . "STANDARD UK EQ.MANAGER OF MGRS.RET ACC"            388 11676 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  2234      . "PACTO AZIONARIO EUROPA A MERGED SEE 139332"        388 16365 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 12129      . "HC FCM SALAMANCA GLB. PR.I GBP"                    388 12943 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  7441      . "SCHOELLERBANK AKTFD.WUHRUNGSGES A"                 388    70 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  8671      . "CSIF (CH) WORLD EX CH INDEX ZA"                    388  2622 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1625      . "LGT SELECT EQUITY EUROPE (EUR) I1"                 388 16704 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  9232      . "SGKB (CH) FUND - AKTIEN SCHWEIZ C"                 388  3331 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1698      . "HANDELSBANKEN EUROPA SELEKTIV (B1 EUR)"            388 18049 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  1950      . "MEESMAN UMBR.EUR.STOCK INDEX FUND CSN."            388 17193 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 17267      . "HANSEATIQUE B"                                     388  7738 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  5975      . "M G MANAGED GROWTH R INC GBP"                      388 14669 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  8363      . "NOVARTIS POOLING FUND I - EQUITIES WORLD EX USA"   388  2868 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  4334      . "INVERSAFEI NORTEAMERICA UNSUPPORTED"               388  5159 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  8280      . "EQUITY STRATEGY NA.VA DELISTED 06/01/11"           388    92 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992" 17153      . "STAMINA GCM US EQUITY R"                           388  6508 . 5.09 .2 1.27 .76 .81 .28 .98 3
" 5/12/1992"  5403      . "IM ARGONAUT EUR.INCOME I INC.GBP"                  388 14778 . 5.09 .2 1.27 .76 .81 .28 .98 3
end

I have a dataset with 18,000 Mutual funds with 25 year of monthly returns, however not all mutual funds where already existing at the start date (5/11/1992). So, the dataset is unbalanced based on returns.

With the following regression:

Reg ri MkrRf SMB HML RMW CMA

I want to estimate the alpha of each mutual fund based on 2-year rolling window, so that each month the alpha is slightly different. Afterwards, I want to use these rolling window alphas to divide all the mutual funds in decile portfolios and I want to rebalance these decile portfolios each month.

I already know how to create and rebalance the decile portfolios, but the rolling regression alpha estimation is very hard for me.

[Hugo van Ginkel]

Dear Scott,

I also want to thank you for your help. Your code did the job as well. But your code overwrites the orginal data. So, the code of Carlo is more suitable for my analysis

[Nick Cox]

Hugo: That's not correct. Scott's code leaves the original dataset as it was. Nothing is overwritten.

[William Lisowski]

I see the difference in the understanding between post #5 and post #6.

First, Scott's code creates a new dataset containing just the results, while Carlo's code adds the results as a new variable to the dataset on which the results are being calculated.

Second, as shown, after the results are complete, Scott reads the new results dataset into memory, replacing the data in memory on which the results were calculated. In that sense, the active data originally in memory are "overwritten" in memory - but of course remain unaltered on disk, which was what Nick meant in post #6.