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ASREG: Stata module to estimate rolling window regressions, Fama-MacBeth and by(group) regressions

Author

Listed:
  • Attaullah Shah

    (Institute of Management Sciences)

Programming Language

Stata

Abstract

asreg can fit three types of regression models; (1) a model of depvar on indepvars using linear regression in a user's defined rolling window or recursive window (2) cross-sectional regressions or regressions by a grouping variable (3) Fama and MacBeth (1973) two-step procedure. asreg is order of magnitude faster than estimating rolling window regressions through conventional methods such as Stata loops or using the Stata's official rolling command. asreg has the same speed efficiency as asrol. All the rolling window calculations, estimation of regression parameters, and writing of results to Stata variables are done in the Mata language. asreg reports most commonly used regression statistics such as number of observations, r-squared, adjusted r-squared, constant, slope coefficients, standard errors of the coefficients, fitted values, and regression residuals.

Suggested Citation

  • Attaullah Shah, 2017. "ASREG: Stata module to estimate rolling window regressions, Fama-MacBeth and by(group) regressions," Statistical Software Components S458339, Boston College Department of Economics, revised 04 Jul 2023.
    • Handle: RePEc:boc:bocode:s458339
    Note: This module should be installed from within Stata by typing "ssc install asreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/a/asreg.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/asreg.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lasreg.mlib
    File Function: Mata object code
    Download Restriction: no
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