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Data for rolling regression

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Contributor
Posts: 39

Data for rolling regression

"Only stocks which have a complete return history over the 36-month rolling regression window are included in our analysis"  cited in Residual Momentum of David Blitz et al 2011. 

I understand that only stocks that contain not enough 36 month data from its start date to the last date will be deleted. Is that right? I am really confused this, because when I create loop without enough 36 months, for ex. only 34,35, must I drop the stock?

 

Many thank

Ha

Super User
Posts: 17,750

Re: Data for rolling regression

That sound correct. 

Only stocks with all data available is considered. 

Contributor
Posts: 39

Re: Data for rolling regression

Thank you. But how about if one stock has data for more than 10 years (ex.) but some data in some months are missing in 36 month rolling window, should we delete the loop or stock? 

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