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Recursive linear regression

`recreg`

recursively estimates coefficients
(*β*) and their standard errors in a multiple
linear regression model of the form $$y=X\beta +\epsilon $$ by
performing successive regressions using nested or rolling windows. `recreg`

has
options for OLS, HAC, and FGLS estimates, and for iterative plots
of the estimates.

`recreg(X,y)`

`recreg(Tbl)`

`recreg(___,Name,Value)`

```
[Coeff,SE]
= recreg(___)
```

`recreg(ax,___)`

`[Coeff,SE,coeffPlots] = recreg(___)`

`recreg(`

fits the data in the
table `Tbl`

)`Tbl`

to multiple linear regression model. The first
`numPreds`

columns are the predictors
(`X`

) and the last column is the response
(`y`

).

`recreg(___,`

specifies options using one or more name-value pair arguments in addition to the
input arguments in previous syntaxes. For example, you can specify the
estimation method by using
`Name,Value`

)`'`

`Estimator`

`'`

or
whether to include an intercept in the multiple regression model by using
`'`

`Intercept`

`'`

.

`recreg(`

plots on
the axes specified in `ax`

,___)`ax`

instead of the axes of new figures.
The option `ax`

can precede any of the input argument
combinations in the previous syntaxes.

`[`

additionally returns handles to plotted graphics objects. Use elements of
`Coeff`

,`SE`

,`coeffPlots`

] = recreg(___)`coeffPlots`

to modify properties of the plots after you
create it.

Plots of nested-window estimates typically show volatility during
a “burn-in” period, in which the number of subsample
observations is only slightly larger than the number of coefficients
in the model. After this period, any further volatility is evidence
of coefficient instability. Sudden changes in coefficient values can
indicate a structural change, and sustained changes can indicate
model misspecification. For structural change tests, see `cusumtest`

and `chowtest`

.

[1] Enders, W. *Applied Econometric
Time Series.* New York: John Wiley & Sons, Inc., 2009.

[2] Johnston, J. and J. DiNardo. *Econometric
Methods.* New York: McGraw Hill, 1997.