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Rolling Regressions with Stata

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Author Info
Kit Baum () (Boston College and RePEc)

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Abstract

This talk will describe some work underway to add a "rolling regression" capability to Stata's suite of time series features. Although commands such as "statsby" permit analysis of non-overlapping subsamples in the time domain, they are not suited to the analysis of overlapping (e.g. "moving window") samples. Both moving-window and widening-window techniques are often used to judge the stability of time series regression relationships. We will present an implementation of a rolling regression command and illustrate with examples from the empirical literature.

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Publisher Info
Paper provided by Stata Users Group in its series North American Stata Users' Group Meetings 2004 with number 9.

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Date of creation: 15 Jul 2004
Date of revision: 11 Aug 2004
Handle: RePEc:boc:asug04:9

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