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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