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:

  1. Rolling window regressions
  2. by-group regressions
  3. Fama-MacBeth (1973) regressions

   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.


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

1.Rolling window regression

1.1 Rolling window betas

2. Recursive window regressions

3. by-group regressions

3.1 by-groups regression

3.2 by-groups regressions with residuals and fitted values

4. Fama-MacBeth (1973) regressions

4.1 FMB 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

 How to cite?

If you have used asreg in your research, please cite it as follows:

In text : Regressions were estimated using the asreg package of Stata, written by Shah (2017).


Shah, Attaullah (2017) “ASREG: Stata module to estimate rolling window regressions, Fama-MacBeth and by(group) regressions,” Statistical Software Components S458339, Boston College Department of Economics, revised 04 Jul 2023.

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