Rolling Regressions with Stata
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.
|Date of creation:||15 Jul 2004|
|Date of revision:||11 Aug 2004|
|Contact details of provider:|| Web page: http://www.stata.com/meeting/3nasug|
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