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ASROL: Stata module to generate rolling window / groups descriptive statistics

Attaullah Shah ()

Statistical Software Components from Boston College Department of Economics

Abstract: asrol calculates descriptive statistics in a user's defined rolling-window or over a grouping variable. asrol can efficiently handle all types of data structures such as data declared as time series or panel data, undeclared data, or data with duplicate values, missing values or data having time series gaps. asrol uses efficient coding in the Mata language which makes this version extremely fast as compared to its previous versions or other available programs. The speed efficiency matters more in large data sets. While writing the source code of asrol, I took utmost care in selecting the most efficient choices among available options. Therefore, every line of code had to undergo several tests to ensure accuracy and speed. In fact, there is a long list of built-in routines which are meant for different data structures. asrol intelligently identifies data structures and applies the most relevant routine from its library. Hence, asrol speed efficiency is ensured whether the data is rectangular (balanced panel), non-rectangular, has duplicates, has missing values, or has both duplicates and missing values.

Language: Stata
Requires: Stata version 13
Keywords: rolling window statistics; moving window statistics; sliding window statistics; by-group statistics; statistics excluding focal observation; fast rolling window calculations (search for similar items in EconPapers)
Date: 2015-09-05, Revised 2022-05-07
Note: This module should be installed from within Stata by typing "ssc install asrol". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/asrol.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/asrol.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lasrol.mlib Mata object library (application/x-stata)

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