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In the context of a rolling regression the series is only going to be as long as the regression window so I think I need to grab the last observation and append those to a series.

At each step of the rolling regression I am trying to save the residual from that regression.

Is this just as simple as adding (!I) to the final line? If so, I'm an idiot.

vector(!i) regmulti_err_{%k}
regmulti.makeresid res1
regmulti_err_{%k}(!I) = res1(!I)

Thanks for the help. As a follow-up I am trying to store the residual from each step of a rolling regression. I tried the commands below but it is returning only the last 100 observations, which is the length of the rolling regression window. is there a better (i.e. correct) way to do this? Thanks f...

I've not used @hcat before, am I able to loop through the vectors and append them or should I use colplace for that?

I have a large number of vectors that capture the r2 and tstat of rolling regressions. How do I collect all of those vectors into either a group or a matrix? I tried to create a group and then you MTOS but it doesn't seem to be working for me. Thanks very much.