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st: AW: tsset for GARCH estimation with repeating dates


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: tsset for GARCH estimation with repeating dates
Date   Wed, 21 Oct 2009 14:09:16 +0200

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HTH
Martin

-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Kaspar Dardas
Gesendet: Mittwoch, 21. Oktober 2009 14:08
An: statalist@hsphsun2.harvard.edu
Betreff: st: tsset for GARCH estimation with repeating dates

Hi Statalisters,

I have a data set with 4 variables (date ret market_ret id) which
looks as follows:


date             ret     market_ret                id
01/02/2009   1%            2%                  1
02/02/2009   1.20%       2%                  1
03/02/2009    -1%        -4%                   1
04/02/2009    -5%       - 3%                   1
01/02/2009      8%        2%                   2
02/02/2009      9.00%   2%                   2
03/02/2009     -16%       -4%                 2
04/02/2009        0.3%    -3%                 2


Please note that date repeats/overlaps - (not for all ids but for some).
I try to use a GARCH process to estimate abnormal returns for each id
with the following loop:

forvalues i=1(1) 1137 {
l id gvkey if id==`i' & dif==0
arch ret market_ret, arch(1) garch(1) if id==`i' & estimation_window==1
predict p if id==`i'
replace predicted_return = p if id==`i'
drop p
}


My loop breaks because there is no time variable set. Whenever, I try
to set "date" as time variable with the command tsset I get the
following error message:

. tsset date
repeated time values in sample

Since this is an event study I will have repeated/overlapping dates in
my data set which is unavoidable. However there is NO repetition of
the same dates within any single id set. Thus, is there any way to set
a time variable for subsamples within a large data set such as

"by id: tsset date"?

The above obviously does not work but I hope that it somehow describes
what I need. Any help would be appreciated.


Best,

Kaspar

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