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st: enhanced rolling: routine


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: enhanced rolling: routine
Date   Thu, 16 Nov 2006 19:47:48 -0500

rolling2 is identical to the official rolling prefix with one exception. Although
not documented as such, official rolling operates separately on each panel of a
panel data set. Under some circumstances, you may want to estimate a model (such as
a linear regression) pooling all data available during a fixed window, generating a
single set of coefficients. This can be achieved by rolling2 with the onepanel
option. Without that option, rolling2 produces the same results as official
rolling.

rolling2 is available from SSC. I thank Asli Leblebicioglu for suggesting that this routine be written.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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