ritaing 发表于 2019-6-22 01:38 
请将问题表述清楚一些，然后help dataex输出数据
方便人回答^_^
抱歉！没表述清楚......是这样的，我的数据有多家公司（用id表示），每家公司有不同年月的收益率（收益率用r1表示），每个年月对应三个因子数据（riskpre SMB HML），现在我想以r1为因变量，riskpre SMB HML为自变量，对每家公司的数据进行滚动回归，区间为36个月，即先对第1~36月的数据进行回归，得到截距项；再对第2~37月的数据进行回归，得到截距项；对第3~38月的数据进行回归，得到截距项......如此滚动上百次，将每次回归的截距项提取出来，请问代码该怎么写呢？
* Example generated by -dataex-. To install: ssc install dataex
clear
input str6 id int date float r1 double(riskpre SMB HML)
"000001" 16860 .014094 .036575 -.009702 .000703
"000001" 16891 .048357 .015575 -.010818 -.0072
"000001" 16919 .171182 .118575 -.05408 .035216
"000001" 16952 .167908 .175575 .119062 -.013383
"000001" 16982 .019099 .037575 .053433 -.008172
"000001" 17013 -.060051 -.056425 .048721 -.009608
"000001" 17044 -.007551 .0265 .001268 -.022068
"000001" 17074 .088243 .0445 .027422 -.031225
"000001" 17105 .007703 .0255 -.049526 .037411
"000001" 17135 .146581 .1315 -.132637 .006661
"000001" 17166 .14491 .2235 -.097754 -.002073
"000001" 17197 .07704 .0925 .06739 -.002018
"000001" 17225 .034486 .0645 .101705 .035859
"000001" 17256 .051416 .11135 .110285 .00374
"000001" 17286 .224213 .22435 .046436 .052993
"000001" 17317 .120223 .077275 -.0258 -.014164
"000001" 17347 .002479 -.082725 -.113558 -.097157
"000001" 17378 .153 .17905 .082684 .013097
"000001" 17409 .155778 .167825 -.03319 .001608
"000001" 17439 .035816 .0466 -.017388 .043838
"000001" 17470 .00484 .0546 -.128444 -.03629
"000001" 17500 -.131055 -.1364 .091215 .008438
"000001" 17531 .126657 .082225 .064503 .008662
"000001" 17562 -.069271 -.158775 .071419 -.02444
"000001" 17591 .002497 .015225 .084746 .027775
"000001" 17622 -.121141 -.193775 .004756 -.037009
"000001" 17652 -.007265 .051225 -.095481 -.02018
"000001" 17682 -.034113 -.084775 .045018 .045009
"000001" 17713 -.115162 -.216775 -.03627 -.015263
"000001" 17744 .015988 .020225 .087876 .002494
"000001" 17773 -.112924 -.150775 -.088313 .030025
"000001" 17805 -.063161 -.071775 -.03067 .038559
"000001" 17836 -.191622 -.2624 .010838 .030914
"000001" 17864 .082047 .11235 .095303 -.016304
"000001" 17897 .025322 -.006425 .075216 -.03906
"000001" 17920 .068734 .110575 .040809 -.017948
"000001" 17955 .008822 .050575 .045556 -.017867
"000001" 17987 .136349 .162575 .075964 -.051336
"000001" 18017 .067147 .045575 .034073 .014925
"000001" 18044 .03534 .051575 .030208 .003847
"000001" 18078 .104957 .135575 -.091759 -.016677
"000001" 18109 .127733 .164575 -.031906 .021235
"000001" 18140 -.207425 -.219425 .061762 -.023972
"000001" 18170 .067721 .050575 -.025297 -.016304
"000001" 18200 .078669 .086575 .032472 -.003578
"000001" 18231 .071341 .074575 .08275 .003528
"000001" 18262 -.000156 .030575 .012538 .025173
"000001" 18291 -.055753 -.090425 .072026 -.018919
"000001" 18319 .019166 .023575 .065067 -.019494
"000001" 18352 .012421 .023575 .021798 -.005504
"000001" 18382 -.041756 -.079425 .008749 -.019223
"000001" 18413 -.054996 -.085425 .003087 -.002986
"000001" 18443 -.033994 -.077425 -.024001 .003928
"000001" 18473 .071036 .114575 .042515 -.026854
"000001" 18505 .032405 .013575 .087313 -.075616
"000001" 18535 .01529 .009575 .000901 -.044449
"000001" 18564 .043494 .119408 -.041887 .013824
"000001" 18596 .004414 -.049592 .056424 -.035434
"000001" 18627 .00699 -.007875 -.007332 .015335
"000001" 18658 -.01911 -.017875 -.028295 .04089
"000001" 18686 .05561 .043833 .064226 -.030131
"000001" 18717 -.043971 .001833 .01064 .008039
"000001" 18746 -.027162 -.010375 -.024443 .003981
"000001" 18778 -.054655 -.063375 -.01172 .002114
"000001" 18808 .013656 .020625 .021925 -.016578
"000001" 18837 -.010458 -.017583 .031034 -.044861
"000001" 18870 -.036032 -.049583 .018516 -.012194
"000001" 18900 -.075987 -.086583 -.02658 .036443
"000001" 18931 .02122 .045417 -.009817 .023869
"000001" 18961 -.038741 -.053583 .01112 -.014629
"000001" 18992 -.103155 -.064583 -.100993 .078564
"000001" 19023 -.010145 .033417 -.041265 -.007071
"000001" 19052 .057284 .061417 .061752 -.035422
"000001" 19083 -.048608 -.068583 .000601 .011932
"000001" 19110 .041344 .050417 .017014 -.020843
"000001" 19144 .021661 -.006583 .016148 -.02016
"000001" 19174 -.030245 -.047375 -.013416 .012482
"000001" 19205 -.042465 -.055167 -.048085 .008125
"000001" 19236 -.026211 -.025167 .077211 -.009528
"000001" 19266 .025203 .018833 -.022034 -.020546
"000001" 19297 -.005283 -.009167 .016063 .00764
"000001" 19327 -.0549 -.053167 -.062844 .049476
"000001" 19358 .11292 .144833 .011474 .020982
"000001" 19389 .050864 .050833 .029558 .014323
"000001" 19417 .01552 -.008167 .046338 -.013598
"000001" 19448 -.010986 -.052167 .026283 -.011905
"000001" 19474 -.011045 -.024167 -.010315 .011247
"000001" 19509 .078455 .066833 .086174 -.024026
"000001" 19539 -.083401 -.131167 -.031212 .00577
"000001" 19570 .037528 .021833 .056314 .002367
"000001" 19600 .01604 .045833 .054832 .00036
"000001" 19631 .048206 .036833 .01293 .033868
"000001" 19662 -.027767 -.019167 -.006769 .020912
"000001" 19691 .02054 .039833 .049459 .005128
"000001" 19723 -.021217 -.044167 .004934 .003458
"000001" 19753 -.004654 -.030167 .066738 .019184
"000001" 19782 -.006457 .008833 .036368 .003771
"000001" 19813 -.052337 -.019167 -.007871 .00388
"000001" 19843 -.008362 -.008167 -.013466 -.001654
"000001" 19873 .003231 .011833 .018031 .002149
"000001" 19904 .013912 .022833 .033131 -.000557
"000001" 19935 .016415 .084833 -.000125 .01633
"000001" 19964 .019685 .008833 .062478 -.028451
"000001" 19996 .083921 .068833 .105106 -.021968
"000001" 20027 .006022 .020833 .001645 .013502
"000001" 20055 .027611 .099042 -.039925 .048569
"000001" 20088 -.000474 .175042 -.235818 .160519
"000001" 20118 .040014 -.000958 .05308 -.082967
"000001" 20146 .049573 .036042 .040994 -.047361
"000001" 20178 .166437 .14025 .110666 -.041366
"000001" 20208 .117452 .17525 .035606 -.000337
"000001" 20237 .170025 .060458 .241196 -.147872
"000001" 20269 -.144884 -.076333 -.048289 .087549
"000001" 20300 -.127134 -.146333 -.059522 .028096
"000001" 20331 -.098722 -.148125 .005223 .010289
"000001" 20361 -.022542 -.050125 .013906 -.007356
"000001" 20391 .061432 .131083 .108769 -.085249
"000001" 20422 .022806 .033083 .11568 -.029977
"000001" 20453 .020401 .033083 .071379 -.030819
"000001" 20482 -.223964 -.242917 -.065598 .057345
"000001" 20513 -.035034 -.026917 -.000701 .015814
"000001" 20544 .078349 .134083 .064168 -.061516
"000001" 20573 -.026381 -.021917 .034052 .001917
"000001" 20605 -.00789 -.002917 -.030435 .003401
"000001" 20635 .017689 .021083 .050193 -.012338
"000001" 20664 .004767 .015083 -.026012 .038566
"000001" 20697 .010142 .040083 .022926 .007594
"000001" 20727 -.012887 -.020917 .028981 -.001482
"000001" 20758 .012781 .027083 .017991 .005984
"000001" 20788 -.015583 .043083 -.007136 .023814
"000001" 20819 -.054233 -.048917 .017772 .019456
"000001" 20845 .001773 .013083 -.043792 .036533
"000001" 20878 .030094 .025083 .016278 -.000104
"000001" 20909 .023277 -.005917 -.021367 .015441
"000001" 20937 -.006289 -.021917 -.049147 .034431
"000001" 20970 -.020909 -.010917 -.066299 .05227
"000001" 21000 .056015 .038083 -.010369 -.013342
"000001" 21031 -.015766 .033083 -.034617 .045636
"000001" 21062 .025448 .028083 .003494 -.01204
"000001" 21092 .01859 .005083 .002161 -.025099
"000001" 21123 .032339 .015083 -.05884 -.008669
"000001" 21153 -.049838 -.022917 -.050927 .03423
"000001" 21184 .02601 .003083 -.030003 -.005106
"000001" 21215 .006656 .050083 -.078864 .072665
"000001" 21243 -.025744 -.062917 .000953 -.019362
"000001" 21274 -.017279 -.020917 .064936 -.060283
"000001" 21301 -.025164 -.033917 -.008043 .014989
"000001" 21335 .019685 -.001917 -.024891 -.007945
"000001" 21365 -.059607 -.078917 -.035656 .029824
"000001" 21396 -.012572 .017083 -.015769 .029916
"000001" 21427 -.055542 -.053917 -.025413 .02519
"000001" 21457 .001712 .029083 -.041685 .017189
"000001" 21488 -.061326 -.081917 -.008425 .054078
"000001" 21518 .012594 .001083 .06526 -.04863
"000001" 21549 -.026064 -.043917 .001934 .006778
"000011" 16860 -.046876 .036575 -.009702 .000703
"000011" 16891 .109387 .015575 -.010818 -.0072
"000011" 16919 .193932 .118575 -.05408 .035216
"000011" 16952 .191368 .175575 .119062 -.013383
"000011" 16982 .107409 .037575 .053433 -.008172
"000011" 17013 -.016051 -.056425 .048721 -.009608
"000011" 17044 .042779 .0265 .001268 -.022068
"000011" 17074 .058723 .0445 .027422 -.031225
"000011" 17105 .035473 .0255 -.049526 .037411
end
format %td date
[/CODE]
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