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ROLLING2: Stata module to perform rolling window and recursive estimation


  • Christopher F Baum

    () (Boston College)


rolling2 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.

Suggested Citation

  • Christopher F Baum, 2006. "ROLLING2: Stata module to perform rolling window and recursive estimation," Statistical Software Components S456789, Boston College Department of Economics, revised 27 Feb 2007.
  • Handle: RePEc:boc:bocode:s456789 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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