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Re: st: Rolling regression based on trading days


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Rolling regression based on trading days
Date   Mon, 29 Apr 2013 09:16:26 +0100

It seems that you have daily data. So why does -xtset- report milliseconds?

Show us the results of say

. describe date
. su date
. list date in 1/5

I don't know offhand whether -rolling- is smart about business
calendars. Introducing business calendars is an on-going project for
StataCorp and I don't have access to Stata 12 right now.

But if Stata thinks your time variable is clock time in ms, it won't
be paying much attention to business calendars. As far as it is
concerned you have in total about 1 second's worth of data.

Nick
njcoxstata@gmail.com


On 29 April 2013 08:53, Bernice Mi <bernicem0708@gmail.com> wrote:
> 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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