Bug in asreg?

[Florian Peters]

I believe there is a bug in the asreg function. When I run rolling window regressions on panel data (firm * quarter), the predictions and residuals are identical in each quarter. E.g. when I run...
asreg y x, by(qtr) fitted window(qtr 4)
... all predicted values in a particular quarter are identical, and so are all residuals.

This problem does *not* occur when I do not specify a window, ie when running
asreg y x, by(qtr) fitted

Something seems be wrong with the "window" option.

Has anybody had the same issue?

[Attaullah Shah]

Hello Florian Peters
Welcome to Statalist. You should mention that asreg is from on SSC. Since the grouping variable in your dataset is firm, and the range variable is qtr, therefore, the command should should

bys firm: asreg y x, window(qtr 4)

By the way, using just 4 observation in a regression is not a good idea.