*******************************************************
* Example of a regression with a moving window
*

* Create some dummy data
sample 1 40
genr Y=time(0)
genr X=uni(Y)

* Specify number of regressions
gen1 min=1
gen1 max=20

* Set the number of exogenous variables (X plus a constant = 2)
gen1 vars = 2

* Dimension somewhere to store the coefficients
dim allcoef max vars

* Do max-min regressions with a moving window
do(#=min,max)
   * Set our sample window range
   gen1 winmin=min+#-1
   gen1 winmax=max+#-1
   samp winmin winmax
   * Do a regression (or another SHAZAM technique)
   ols Y X / coef=olscoef
   * Transpose the coefficients and copy to storage matrix
   matrix tolscoef=olscoef'
   copy tolscoef allcoef / frow=1;1 trow=#;# 
endo 

* Print out the coefficients from the storage matrix
print allcoef