Announcement

Collapse
No announcement yet.
X
  • Filter
  • Time
  • Show
Clear All
new posts

  • Rolling reggression with newey-west standard error in stata 10

    Hi for my thesis I have returns of multiple portfolios and have to regress them against returns of factor portfolios in a rolling window of 52 obs
    In stata 10 asreg and rollreg do not seem to work and as it's the uni PC i can't update it.
    Is there a way to do it in a loop, something like this:

    Code:
    forvalues i = 1/"nuber of observations"- 52 {
    newey PBQ1 var24 SizeTLS momLS in i/i+51, lag(2)
     }



  • #2
    Welcome to Statalist, Christian!

    This forum is for questions about Mata, Stata's matrix programming language. Repost in the General Forum.
    Steve Samuels
    Statistical Consulting
    [email protected]

    Stata 14.2

    Comment

    Working...
    X