Am 27.10.2017 um 13:27 schrieb Filipe Rodrigues da Costa:
>
>> T = $nobs
>>
>> scalar window_size = 20
>> scalar k = $nobs - window_size + 1
>> series b = NA
>>
>> smpl 1 window_size
>> loop i = window_size .. T
>> ols AMZN const SP500
>> if i < T
>> smpl +1 +1
>> endif
>> endloop
>>
>> smpl full
>
> So far so good, this works quite well. But let's say the data covers 100
> periods for SP500 but only 60 for AMZN (no data for the last 40).
> My question is as follows: Is there a simple way of imposing the routine
> to only estimate OLS when we have the full 20 data points for AMZN and
> 20 for SP500?
There are various possibilities. For example, check for any missings in
the sample like this (untested, bugs likely!):
<hansl>
open denmark
T = $nobs
window_size = 20
list all = LRM LRY
loop i=window_size..T
start = i - window_size + 1
smpl start i
if sum(missing(all)) == 0
ols LRM const LRY
endif
endloop
</hansl>
hth,
sven
