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
Dear 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!
I have a question about how asreg handles missing values for the dependent variable. For example, if I am estimating CAPM betas using a rolling regression, then asreg will produce a missing value for a beta estimate if my current dependent variable (current return in this case) is missing. However, If I’m using 12 months of rolling data to estimate beta but only require a minimum of 10 months, then I don’t necessarily want a missing value for my beta estimate if my current return is missing, since I only need 10 months of data. Is there a way to adjust asreg so that it won’t lead to a missing value for my beta estimate if the current return is missing?