| I would like to run a simple time-series regression, to estimate the sensitivity of my dependent variable to a set of explanatory variables. |
However, instead of running the regression on the entire time-series, I would like to running it only over specific time periods, all stacked together as one continuous dataset. For example, a time-series of stock returns could be subdivided into a bull market subset and a bear market subset. I would like to run the regression over bull-market periods only, or bear market periods only.
The issue is that these market conditions (regimes) are discontinuous. In other words, you have a time period of bull market, followed by one of bear market, then bull, then bear,... The discontinuity between two bull market periods or two bear periods could be several years.
Is it legitimate to stack all the subsets of the same regime, e.g. bull, and run the regression? The purpose is to get a regime-specific sensitivity to the explanatory variables.