Hi. I'm using rollreg. There are a number of important (mutually exclusive) parameters to set:
  • move(#):width of the moving window
  • add(#) specifies the initial size of the window
  • dropfirst(#) specifies the maximum number of periods to be omitted from the regression
I wonder if there are any rules of thumb for how they should be set. for example drop the first 10% of observations, move in a window of 20% of the sample …. Any good user advice to pass on?