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:
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
2. Recursive window regressions
3. by-group regressions
4. Fama-MacBeth (1973) regressions
5. Rolling window regression with Newey-West standard errors
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.