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From |
"Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu> |

To |
"'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: RE: RE: RE: RE: RE: Foreach Command in Panel Data |

Date |
Tue, 28 Sep 2010 14:35:08 -0700 |

Also, you will need to have a means of assuring the IDs are unique. Using runiform() and sorting to ensure that you have unique values should work out. Tony Peter A. Lachenbruch Department of Public Health Oregon State University Corvallis, OR 97330 Phone: 541-737-3832 FAX: 541-737-4001 -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Degas Wright Sent: Tuesday, September 28, 2010 1:02 PM To: statalist@hsphsun2.harvard.edu Subject: st: RE: RE: RE: RE: RE: Foreach Command in Panel Data Nick, For some reason the tsset is not interpreting the data as time series and the data has to be in a time series for the var to work. That is another reason that I have to handle one ticker at a time or the tsset command identifies the data as panel. Thanks for the FAQ reference. Degas A. Wright, CFA Chief Investment Officer Decatur Capital Management, Inc. 250 East Ponce De Leon Avenue, Suite 325 Decatur, Georgia 30030 Voice: 404.270.9838 Fax:404.270.9840 Website: www.decaturcapital.com -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox Sent: Tuesday, September 28, 2010 3:33 PM To: 'statalist@hsphsun2.harvard.edu' Subject: st: RE: RE: RE: RE: Foreach Command in Panel Data I see. An FAQ very recently referred to FAQ . . . . . . . . . . Making foreach go through all values of a variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. J. Cox 8/05 Is there a way to tell Stata to try all values of a particular variable in a foreach statement without specifying them? http://www.stata.com/support/faqs/data/foreach.html gives some guidance. You are going to need to select a panel each time you go through the loop. On the other hand, producing 2000 sets of results does raise the question of how you are going to collate them. Nick n.j.cox@durham.ac.uk Degas Wright So I am attempting to isolate each stock to determine the impact of various fundamental variables on excess returns by using the var time series command. When I have one stock in the dataset and use the tsset date command, then use the var command, it works fine. I am attempting to write a program that select one ticker at a time to run the time series from my panel data. Your point on isolating a single stock is exactly our objective since cross sectional approach contains a significant amount of noise in the forecast. Nick Cox Actually, it's interesting that this gets past foreach xticker in dcm.dfa1.dat { but the reason is that you never refer to `xticker' within the loop. Thus another problem with this loop is that it would never repeat anything. Nick n.j.cox@durham.ac.uk Nick Cox If it's panel data, the appropriate -tsset- specifies both identifier and time variable. Without a panel identifier, the report you get is, if you think more about it, what you should expect. The deeper issue of whether it makes scientific sense to forecast stocks in isolation is not one I can usefully comment on. Degas Wright I have panel data of 2000 tickers, excess returns (r) and various fundamental variables such as earnings yield (ep), momentum(mom), earnings revision (rev), over a 120 month period. I am trying to use the var command to develop a time series forecast for each individual stock's excess return. I realize that I have to analyze one ticker (stock) at a time with the time series approach and assumed that using the foreach command would work. tsset panel variable: xticker (unbalanced) time variable: date, 2000m2 to 2009m6, but with gaps delta: 1 month foreach xticker in dcm.dfa1.dat{ 2. tsset date 3. var r ep mom rev 4. } repeated time values in sample r(451); However, I get the repeated time values in sample r(451). * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Foreach Command in Panel Data***From:*"Degas Wright" <dwright@cornerstoneadvice.com>

**st: RE: Foreach Command in Panel Data***From:*Nick Cox <n.j.cox@durham.ac.uk>

**st: RE: RE: Foreach Command in Panel Data***From:*Nick Cox <n.j.cox@durham.ac.uk>

**st: RE: RE: RE: Foreach Command in Panel Data***From:*"Degas Wright" <dwright@cornerstoneadvice.com>

**st: RE: RE: RE: RE: Foreach Command in Panel Data***From:*Nick Cox <n.j.cox@durham.ac.uk>

**st: RE: RE: RE: RE: RE: Foreach Command in Panel Data***From:*"Degas Wright" <dwright@cornerstoneadvice.com>

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