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st: re: rollreg


From   Christopher F Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: rollreg
Date   Thu, 3 Mar 2005 16:47:45 -0500

Cameron said

My question relates to the 'rollreg' routine available via ssc install.

I have panel data on which I wish to perform rolling regressions.
However, for consistency with prior research I want to use standard OLS
regressions as produced by "regress" rather than ivreg (or ivreg2). Here
is an example of problem.

(snip)

The coefficients which you are getting from rollreg correspond to those calculated from observations 2/6, not 1/5 (that is, for 1981-1985 rather than 1980-1984): that is why they are labeled as aligned with 1985. Now why rollreg does not produce the estimate for obs. 1-5 I do not know, and will have to investigate. But the rollreg ests. match those generated by "reg y x1 x2 in 2/6" exactly.

Kit

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