I believe there is a bug in the asreg function. When I run rolling window regressions on panel data (firm * quarter), the predictions and residuals are identical in each quarter. E.g. when I run...
asreg y x, by(qtr) fitted window(qtr 4)
... all predicted values in a particular quarter are identical, and so are all residuals.
This problem does *not* occur when I do not specify a window, ie when running
asreg y x, by(qtr) fitted
Something seems be wrong with the "window" option.
Has anybody had the same issue?
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