Rolling estimation with panel data

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Rolling estimation with panel data

Postby PM.GR » Wed Oct 11, 2017 9:06 am

I have a balanced panel model, with 18 sections and 170 points in time. At its current version it is very simple, given that it only contains one explanatory and a constant. I have estimated it in constant-parameters form with system GMM FE. Now I want to lift the constant-parameters assumption and test for time-variation of the aplha and beta parameters, while also possibly incorporating more determinants in next steps.

I have previously run rolling regression in time series equations, but have not found a similar formula for panel data.

Is there any (ideally ready-to-use) add-in for rolling the time dimension of the sample in panel data?
Thank you in advance!

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