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Re: st: Rolling regression based on trading days
From
Bernice Mi <[email protected]>
To
[email protected]
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 <[email protected]> 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
> [email protected]
>
>
> On 29 April 2013 08:53, Bernice Mi <[email protected]> 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
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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