ROLLING2: Stata module to perform rolling window and recursive estimation

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Requires: Stata version 9
Keywords: rolling window; moving window; recursive estimation (search for similar items in EconPapers)
Date: 2006-11-16, Revised 2007-02-27
Note: This module may be installed from within Stata by typing "ssc install rolling2". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/r/rolling2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/rolling2.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s456789

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