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Re: st: Rolling regression based on trading days


From   Bernice Mi <bernicem0708@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Rolling regression based on trading days
Date   Mon, 29 Apr 2013 18:25:08 +1000

Many thanks for your prompt reply Nick. Although delta is .001
seconds, when I run rolling regression, it is still based on calendar
days (not trading days as I want).

The partial results are below. I really appreciate your help!
864761. | 26nov2012 |
864762. | 27nov2012 |
864763. | 28nov2012 |
864764. | 29nov2012 |
864765. | 30nov2012 |
        |-----------|
864766. | 03dec2012 |
864767. | 04dec2012 |
864768. | 05dec2012 |
864769. | 06dec2012 |
864770. | 07dec2012 |
        |-----------|
864771. | 10dec2012 |
864772. | 11dec2012 |
864773. | 12dec2012 |
864774. | 13dec2012 |
864775. | 14dec2012 |
        |-----------|
864776. | 17dec2012 |
864777. | 18dec2012 |
864778. | 19dec2012 |
864779. | 20dec2012 |
864780. | 21dec2012 |
        |-----------|
864781. | 24dec2012 |
864782. | 26dec2012 |
864783. | 27dec2012 |
864784. | 28dec2012 |
864785. | 31dec2012 |
        +-----------+

.
end of do-file

. do "C:\Users\lmi\AppData\Local\Temp\STD02000000.tmp"

. su date

    Variable |       Obs        Mean    Std. Dev.       Min        Max
-------------+--------------------------------------------------------
        date |    864785    4144.932    2229.524          0       8399

.

On Mon, Apr 29, 2013 at 6:16 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> 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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