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Hi, When I conduct a rolling regression, I use the following command to to obtain the output, in addition to 2 vectors which contain the t-statistics and the beta (regression) co-efficients from each regression: for !horizon=1 to 155 smpl 1992m12+!horizon 1995m05+!horizon equation output{!horizon}.a...

Thank you Gareth, the group command worked in achieving what I wanted to.

Hi, I am running a garch(1,1) model, with a rolling sample. As such, given my sample size, this process results in 155 regressions and 155 conditional variance estimates( each with sample size of 30). these conditional variance estimates from each regression are reported in 155 different series( of ...