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st: Rolling regression based on trading days


From   Bernice Mi <bernicem0708@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Rolling regression based on trading days
Date   Mon, 29 Apr 2013 17:53:55 +1000

Hi All,

I have an unbalanced panel data with the dates being trading days. I
have already defined and formatted (using %tbcalname) the dates as
business calendar. I checked by testing the lead and lag days - it
worked. However, when I xtset company date, it shows that delta is
0.001 seconds. Moreover, when I run rolling regression for 3 years, it
turns up to be 1035 (roughly 360*3) replications not around 780 (i.e.
260*3) replications.

I am new user of Stata and could not figure out where I went wrong.
Please help me.

Many thanks!!

Bernice
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