Hi! I'd like to calculate beta using 5 years worth of quarterly data. At the end of each year t, beta is estimated using quarterly data from 5-year period covering year t-4 through t. Please find attached for how the data looks like. For example, beta for firm A in year 1998 is calculated by regressing dependent variable on independent variable from 31/03/1994 to 31/12/1998 (20 observations).
Please could you let me know how to run regression on a subset of data (5 year period). Many thanks!
Please could you let me know how to run regression on a subset of data (5 year period). Many thanks!