ROLLREG: RATS module to perform rolling and moving-window regressions

Simon van Norden ()

Statistical Software Components from Boston College Department of Economics

Abstract: This procedure does rolling OLS regressions in one of three modes. Given an initial range of observations, ADD adds observations (one at a time) to the end of the sample, DROP drops them from the beginning of the sample, and MOVE simultaneously adds and drops so that the number of observations in each regression is constant. The resulting series of coefficients and standard errors are stored in numbered series, and may be graphed.

Language: RATS
Date: 1995-06-01
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http://fmwww.bc.edu/repec/bocode/r/rollreg.src program code (text/plain)

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