I was reading a paper and I saw that they run a 3-year rolling autoregression for 20 years (using for example 2013-2016 as trailing and 2016-2019 as forwarding) and got only one beta coefficient and one t-value. I've been looking for a way to do that, but haven't found anything. So, my question is how it's possible to do that? For reference, it's a pooled regression if it makes any difference.
Will appreciate any help!
Edit: For one variable, it's possible to do the rolling regression recursively and apply a filter (Kalman filter for example) and get one coefficient that describes the connection between the variables. However, I couldn't figure out how I could do the same thing for pooled regressions. I think I need to find some mix between the fixed effects method and the recursive rolling method.