Title: ASREG: Stata module to estimate rolling window regressions, Fama-MacBeth and by(group) regressions
Abstract:asreg can fit three types of regression models; (1) a model of depvar on indepvars using linear regression in a user's defined rolling window or recursive window (2) cross-sectional regressions or reg...asreg can fit three types of regression models; (1) a model of depvar on indepvars using linear regression in a user's defined rolling window or recursive window (2) cross-sectional regressions or regressions by a grouping variable (3) Fama and MacBeth (1973) two-step procedure. asreg is order of magnitude faster than estimating rolling window regressions through conventional methods such as Stata loops or using the Stata's official rolling command. asreg has the same speed efficiency as asrol. All the rolling window calculations, estimation of regression parameters, and writing of results to Stata variables are done in the Mata language. asreg reports most commonly used regression statistics such as number of observations, r-squared, adjusted r-squared, constant, slope coefficients, standard errors of the coefficients, fitted values, and regression residuals.Read More
Publication Year: 2017
Publication Date: 2017-01-01
Language: en
Type: article
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