STATA-FORUM.DE

Hallo zusammen,

ich versuche die Funktion statsby mit einer rolling window Regression zu verbinden und komme leider zu keinem von Stata ausführbaren Befehl. Ich habe erfolglos folgendes versucht:

Code: Alles auswählen

statsby _b, by(Ind) clear: reg eret IP MktRF HML SMB, wind(date_adj 72)


Meine Daten sehen folgendermaßen aus:

Code: Alles auswählen

* Example generated by -dataex-. To install: ssc install dataex
clear
input float date_adj str6 Ind float IP double(MktRF SMB HML) float eret
24 "_Aero"  -.8879781 -3.87  1.86 4.98   6.78
24 "_Agric" -.8879781 -3.87  1.86 4.98  -3.66
24 "_Autos" -.8879781 -3.87  1.86 4.98  -1.27
24 "_Banks" -.8879781 -3.87  1.86 4.98  -6.16
24 "_Beer"  -.8879781 -3.87  1.86 4.98  -3.45
24 "_BldMt" -.8879781 -3.87  1.86 4.98  -5.71
24 "_Books" -.8879781 -3.87  1.86 4.98  -3.81
24 "_Boxes" -.8879781 -3.87  1.86 4.98  -5.38
24 "_BusSv" -.8879781 -3.87  1.86 4.98  -1.45
24 "_Chems" -.8879781 -3.87  1.86 4.98  -4.76
24 "_Chips" -.8879781 -3.87  1.86 4.98  -4.53
24 "_Clths" -.8879781 -3.87  1.86 4.98  -5.89
24 "_Cnstr" -.8879781 -3.87  1.86 4.98  -1.32
24 "_Coal"  -.8879781 -3.87  1.86 4.98   4.67
end
format %tm date_adj


Ich freue mich über jede Hilfe.

Viele Grüße,
Alex

In 1966 the R&D spending of portfolio 0 was .77. I would like to get the portfolio return for 1 year after that date, 2 years after that date,....and 10 years after that date. This should be done for each portfolio and each year where R&D spending is positive.

In 1966 the R&D spending of portfolio 0 was .77. I would like to get the portfolio return for 1 year after that date, 2 years after that date,....and 10 years after that date. This should be done for each portfolio and each year where R&D spending is positive.