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Multiple Rolling Regression

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  1. #1
    Registered User
    Join Date
    07-31-2012
    Location
    Edinburgh
    MS-Off Ver
    Excel 2007
    Posts
    3

    Multiple Rolling Regression

    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???
    Attached Files Attached Files

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