Rolling Regressions with Stata

Christopher Baum

North American Stata Users' Group Meetings 2004 from Stata Users Group

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.

Date: 2004-07-15, Revised 2004-08-11
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Downloads: (external link)
http://repec.org/nasug2004/NASUG04_4810.pdf handout (application/pdf)
http://repec.org/bocode/r/rollreg_X.do sample do-file (text/plain)
http://repec.org/bocode/r/rollreg_X2.do sample do-file (text/plain)
http://repec.org/bocode/m/mvcorr_X.do sample do-file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:asug04:9

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