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Rolling window and recursive estimation

Description

rolling2is identical to the officialrollingprefix with one exception. Although not documented as such, officialrollingoperates 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 byrolling2with theonepaneloption. Without that option,rolling2produces the same results as officialrolling.

Options

onepanelspecifies that a single model is to be be estimated over all panels of a panel dataset, ignoring the setting of thepanelvar.

Examples. webuse grunfeld

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

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

help for rollingAlso see