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Re: st: AW: tsset for GARCH estimation with repeating dates


From   Kaspar Dardas <kaspar.dardas@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: tsset for GARCH estimation with repeating dates
Date   Wed, 21 Oct 2009 14:49:20 +0200

Hey,


thanks Martin. This is what I was looking for.


Best,

Kaspar

2009/10/21 Martin Weiss <martin.weiss1@gmx.de>:
>
> <>
>
>
>
> *************
> h xtset
> *************
>
>
>
> 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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