#### Rolling Regression

A rolling regression does a lot of redundant work inside of several levels
of (slow) for loops. Attaullah Shah describes his faster -asreg- command
in this Stata
Forum entry. I did a brief test and found that with one a million
observations on 2 variables, -asreg- could do about 3,000 regressions per
minute over a window size of 100.
It seem as though nearly all regressions require some special technique
such as 2SLS, clustering, or hetero-skedastic standard errors, none of
which are available here. An easy way to obtain corrected standard errors
for a manual implementation of 2SLS is to regress the 2nd stage residuals
(calculated with the real, not predicted data) on the independent
variables. Those standard errors are unbiased for the coefficients of the
2nd stage regression.

I have not tested -rollreg-, but here is a description. And
there is -rolling-.

*last update 20 Nov 2017 by drf*