help for rolling2 

Rolling window and recursive estimation


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.


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


. webuse grunfeld

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


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

Also see help for rolling