rollreg

[peter cel]

Hi. I'm using rollreg. There are a number of important (mutually exclusive) parameters to set:

• move(#):width of the moving window
• add(#) specifies the initial size of the window
• dropfirst(#) specifies the maximum number of periods to be omitted from the regression

I wonder if there are any rules of thumb for how they should be set. for example drop the first 10% of observations, move in a window of 20% of the sample …. Any good user advice to pass on?

[Marcos Almeida]

The - rollreg - program is a user-written program, as you're supposed to underline. Maybe the help files, if not yet read, will help.

You may also wish to check the command - rolling -,available in Stata 13 on wards (maybe, also earlier versions).