ROLLING2: Stata module to perform rolling window and recursive estimation
Abstractrolling2 is identical to the official rolling prefix with one exception. Although not documented as such, official rolling operates separately on each panel of a panel data set. Under some circumstances, you may want to estimate a model (such as a linear regression) pooling all data available during a fixed window, generating a single set of coefficients. This can be achieved by rolling2 with the onepanel option. Without that option, rolling2 produces the same results as official rolling.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S456789.
Requires: Stata version 9
Date of creation: 16 Nov 2006
Date of revision: 27 Feb 2007
Note: This module should be installed from within Stata by typing "ssc install rolling2". Windows users should not attempt to download these files with a web browser.
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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