Running a regression for each year using prior 10 years of data

[Alberto Alvarez]

Dear STATA Users,

Please, correct me if I am wrong. I need to run a regression at the industry level for each year of the sample period using prior 10 years of data. For this purpose, I use the following command:

bys industry: asreg  y a b c, wind(year 10) min(7)

Is it correct?

[Phil Bromiley]

There are many procedures that do things like this in Stata - statsby, rolling, and asreg among them. Since asreg is user-written, you may need to contact the author. However, you shouldn't bother anyone until you see if it works. You can easily do a few conventional regressions using if conditions, run the asreg, and see if you get the same parameters. You can also easily see if you're getting the right number of regressions.

[Nick Cox]

Phil Bromiley is right, to which I will add:

A regression with 3 predictors fitted to 7 to 10 data points sounds like a real stretch to me, if that is what this means. If you are lumping together results for different firms, the story may be much better. But that's the meta-issue: there was not enough detail in #1 to say very much, which I guess is why I let this pass myself.

[Attaullah Shah]

The caution pointed out by Nick and Phil should be considered. As far as your question is concerned, the line of code does what you intend to do.

[Alberto Alvarez]

Thank you very much for the answers!