pooled cross-sectional model - How to do a rolling regression on panel data
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Dear Mathworks Members,
I'm new at Matlab and I know I need to study materials to avoid asking silly questions, but for the time being I'm on a deadline. So I would really appreciate your kind help.
I need to replicate an empirical model that uses panel data, where the estimates coefficients are from a pooled cross-sectional model using the previous ten years of data for each year between 2002 and 2014. I would assume I need to apply a multiple rolling regression.
Example: the coefficients for year 2010, should be deducted through running a pooled cross-sectional regression using data only from 2000-2009. Then for 2011 get estimates by running a regression only for data within 2001-2010.
Is there any predefined function i could use, any existing code that could help or any direction to better understand teh first steps i need to take would be highly appreciated?
Thank you very much for your time, Ana
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