Stata Time Series Tutorial: The Rolling Regression
17:53
YouTubeMike Jonas Econometrics
Stata Time Series Tutorial: The Rolling Regression
How to use the "rolling" regression command in Stata to diagnose potential instability in your time series regression model. Here are the commands I used to generate the example data set (in case you want to play along): .getsymbols aapl ^gspc,fm(10) fy(2019) yahoo .gen t=_n .tsset t .gen ra=D.adjclose_aapl/L.adjclose_aapl. // precedent change ...
11.5K viewsOct 28, 2020
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