ASREG: Stata module to estimate rolling window regressions, Fama-MacBeth and by(group) regressions

Attaullah Shah ()

Statistical Software Components from Boston College Department of Economics

Abstract: asreg can fit three types of regression models; (1) a model of depvar on indepvars using linear regression in a user's defined rolling window or recursive window (2) cross-sectional regressions or regressions by a grouping variable (3) Fama and MacBeth (1973) two-step procedure. asreg is order of magnitude faster than estimating rolling window regressions through conventional methods such as Stata loops or using the Stata's official rolling command. asreg has the same speed efficiency as asrol. All the rolling window calculations, estimation of regression parameters, and writing of results to Stata variables are done in the Mata language. asreg reports most commonly used regression statistics such as number of observations, r-squared, adjusted r-squared, constant, slope coefficients, standard errors of the coefficients, fitted values, and regression residuals.

Language: Stata
Requires: Stata version 11
Keywords: rolling window regression; recursive window regressions; by-group regressions; Fama; MacBeth; Newey-West; storing regression results in memory; rolling betas; moving window regressions; cross-sectional regressions (search for similar items in EconPapers)
Date: 2017-05-02, Revised 2023-07-04
Note: This module should be installed from within Stata by typing "ssc install asreg". 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/asreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/asreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lasreg.mlib Mata object code

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