English, Article edition: ROLLING2: Stata module to perform rolling window and recursive estimation Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/174791
Physical Description
  • code
Language
  • English

Edition details

Title
  • ROLLING2: Stata module to perform rolling window and recursive estimation
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • 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.
  • rolling window, moving window, recursive estimation
  • RePEc:boc:bocode:s456789
Language
  • English
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