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ROLLREG: Stata module to perform rolling regression estimation

Author

Listed:
  • 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.

Suggested Citation

  • Christopher F Baum, 2004. "ROLLREG: Stata module to perform rolling regression estimation," Statistical Software Components S444301, Boston College Department of Economics, revised 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.
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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
    File Function: help file
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    More about this item

    Keywords

    rolling regression; moving window;

    Statistics

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