![]() ![]() Windows users should not attempt to download these files with a web browser. The module is made available under terms of the GPL v3 (). By default, levels are ordered by alphabetical order or by its numeric value if it was transformed from. For example, if you are analyzing data about a control group and a treatment group, you may want to set the control group as the reference group. STATA REGRESS BY GROUP INSTALLNote: This module should be installed from within Stata by typing "ssc install asreg". To keep only the first 10 observations : head(dat, n 10). ![]() ![]() Keywords: rolling window regression recursive window regressions by-group regressions Fama MacBeth Newey-West storing regression results in memory rolling betas moving window regressions cross-sectional regressions (search for similar items in EconPapers) This MATLAB function returns a vector b of coefficient estimates for a multiple linear regression of the responses in vector y on the predictors in matrix. asreg reports most commonly used regression statistics such as number of observations, r-squared, adjusted r-squared, constant, slope coefficients, standard errors of the coefficients, fitted values, and regression residuals. All the rolling window calculations, estimation of regression parameters, and writing of results to Stata variables are done in the Mata language. asreg has the same speed efficiency as asrol. 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. Statistical Software Components from Boston College Department of EconomicsĪsreg can fit three types of regression models (1) a model of depvar on indepvars using linear regression in a user's defined rolling window or recursive window (2) cross-sectional regressions or regressions by a grouping variable (3) Fama and MacBeth (1973) two-step procedure. ASREG: Stata module to estimate rolling window regressions, Fama-MacBeth and by(group) regressions ![]()
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