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help for rolling2 
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Rolling window and recursive estimation

Description

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.

Options

onepanel specifies that a single model is to be be estimated over all panels of
    a panel dataset, ignoring the setting of the panelvar.

Examples

        . webuse grunfeld

        . rolling2 _b _se, window(5) onepanel: regress invest mvalue kstock


Author

Christopher F. Baum (baum@bc.edu), Boston College



Also see
help for rolling