## Introduction

asreg is a Stata program, written by Dr. Attaullah Shah. The program is available for free and can be downloaded from SSC by typing the following on the Stata command window:

ssc install asreg

asreg was primarily written for rolling/moving / sliding window regressions. However, with the passage of time, several useful ideas were conceived by its creator and users. Therefore, more features were added to this program. The primary uses of asreg can be summarized under the following three headings:

## Speed Efficiency

asreg is an 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. Similarly, estimating Fama and MacBeth(1973) regression through asreg is several times faster than other available options.

## Uses

asreg can be used for the following purposes. Click the following links for further details.

### 1.Rolling window regression

### 2. Recursive window regressions

### 3. by-group regressions

3.2 by-groups regressions with residuals and fitted values

### 4. Fama-MacBeth (1973) regressions

4.2 FMB regression – what, how and where

4.3 FMB regressions with 25-portfolios – An example

### 5. Rolling window regression with Newey-West standard errors

### 6. Rolling window fitted values and residuals

### 7. Getting rolling window t-statistics

### Questions / Answers

Question: How can I get similar results as produced by the Stata’s *rolling* command

Answer: See a detailed answer here in this post

Angela TorresFebruary 28, 2021 at 11:14 pmDear Attaullah Shah,

I wonder if there is a way to add Driscoll-Kraay standard errors to perform rolling regressions using fixed effects in Stata?

I know you can use Newey and robust errors with this code, but is there a way to add Driscoll-Kraay standard errors?

clear all

set more off

webuse grunfeld,clear

xtset company year

tab company, gen(company_)

asreg invest mvalue kstock company_*, wind(year -7 0) robust

//or

asreg invest mvalue kstock company_*, wind(year -7 0) newey(2)

Thank you very much for your help!