Multiple Rolling Regression

[a_papageorgiou]

Hello everyone,
I am new to the forum and this is my first post.
I have a problem and would greatly appreciate any assistance.

I want to run over 1000 multiple regressions.
The problem is that they are also rolling.
That is every cell uses the prior three years to calculate coefficients and intercepts.

Is there a way to get the intercept and coefficients for a multiple regression??
That way I can just fill in the cells and be done in a few minutes rather than going through the analysis toolpack and doing each regression manually and copying results.

I have attached a file that contains my dependent variable (Return)
and my independent are SMB HML MOM and MKT.
The data is monthly and I would like to start from January 2000.
That is get the coefficients of this four factor regression based on the prior 3 year data that is based on the range 01/1997-12/1999
Similarly for Feb 2000 I want data that will start as of Feb 1997 and so on.

Any suggestions???

[MrShorty]

have you tried using the LINEST function?

[a_papageorgiou]

Now I have and it works thank you!
Is there a command to get R squared (preferably adjusted r squared) and test statistics for a multiple regression?

[MrShorty]

If you set the final LINEST argument to TRUE, the LINEST function will return several additional statistics (including r²). You'll want to review the help file for LINEST for a detailed list of the statistics returned. See if the desired test statistics are included in that list or can be derived from those values.

[a_papageorgiou]

Great! Thank you for the help!

[Cutter]

@ a_papageorgiou

Based on your last post it seems that you are satisfied with the solution(s) you've received but you haven't marked your thread as SOLVED. I'll do that for you now but please keep in mind for your future threads that Rule #9 requires you to do that yourself. If your problem has not been solved you can use Thread Tools (located above your first post) and choose "Mark this thread as unsolved".
Thanks.

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