English, Article, Journal or magazine article edition: Rolling Regressions with Stata Kit Baum

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Bookmark: http://trove.nla.gov.au/version/72912
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Rolling Regressions with Stata
Author
  • Kit Baum
Physical Description
  • preprint
Notes
  • This talk will describe some work underway to add a "rolling regression" capability to Stata's suite of time series features. Although commands such as "statsby" permit analysis of non-overlapping subsamples in the time domain, they are not suited to the analysis of overlapping (e.g. "moving window") samples. Both moving-window and widening-window techniques are often used to judge the stability of time series regression relationships. We will present an implementation of a rolling regression command and illustrate with examples from the empirical literature.
  • RePEc:boc:asug04:9
Language
  • English
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