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st: Stata package to perform rolling (moving-window) regressions


From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Stata package to perform rolling (moving-window) regressions
Date   Wed, 14 Jul 2004 16:28:30 -0400

TITLE
      'ROLLREG': module to perform rolling regression estimation

DESCRIPTION/AUTHOR(S)

      rollreg computes three different varieties of rolling regression
      estimates.  With the move() option, moving-window estimates of
      the specified window width are computed for the available sample
      period.  With the add() option, that number of periods are
      initially used for estimation,  and the sample is extended one
      period at a time through the remaining sample.  With the
      dropfirst() option, the regression is estimated for the entire
      sample,  and then repeated, dropping initial observations until
      that number of observations have been excluded. All three forms
      of the command generate timeseries of R^2s, RMSEs, coefficient
      estimates and their estimated standard errors for each period.
      Graphs are also optionally provided.

      Distribution-Date: 20040714

      Author: Christopher F Baum, Boston College
      Support: email [email protected]

Available from SSC.

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