ASREG: A powerful package for regressions in Stata

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:

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

 

Speed Efficiency


asreg is 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, rolling windows betas
  2. Recursive window regressions
  3. by-group regressions
  4. Fama-MacBeth (1973) regressions
  5. Rolling window regression with Newey-West standard errors
  6. Rolling window fitted values and residuals