[Willem Huizenga]

Thanks for the clarification. I assumed it was good practice to try this thread (seeing that Mr Clyde Schechter has good knowledge on the rolling window ar(1) approach) before starting a new one. I'll start a new one.

[Nick Cox]

I was going to suggest that as the best idea, but please leave a cross-reference in this thread to the new one.

[Willem Huizenga]

Sure, this is the link to the new thread: https://www.statalist.org/forums/for...-ar-1-approach.