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ROLLREG: Stata module to perform rolling regression estimation

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

Abstract

rollreg computes three different varieties of rolling regression estimates. With the move() option, moving-window estimates of the specified window width are computed for the available sample period. With the add() option, that number of periods are initially used for estimation, and the sample is extended one period at a time through the remaining sample. With the dropfirst() option, the regression is estimated for the entire sample, and then repeated, dropping initial observations until that number of observations have been excluded. All three forms of the command generate timeseries of R^2s, RMSEs, coefficient estimates and their estimated standard errors for each period. Graphs are also optionally provided, juxtaposing the rolling regression estimates with those resulting from a single regression over the entire sample period. The routine can also be applied to either a single unit's data from a panel or to panel data.

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File URL: http://fmwww.bc.edu/repec/bocode/r/rollreg.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/r/rollreg.hlp
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S444301.

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Programming language: Stata
Requires: Stata version 8.2
Date of creation: 14 Jul 2004
Date of revision: 07 Mar 2005
Handle: RePEc:boc:bocode:s444301

Note: This module should be installed from within Stata by typing "ssc install rollreg". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: rolling regression; moving window;

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