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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 18:55:05 +1000

Hi Nick,

Sorry for confusing you. My data look like this:
company date price return
1      02jan1990
1      03jan1990
1      04jan1990
.
.
.
1     31dec1991
2     02jan1980
2     03jan1980
.
.
.
2     31dec2012
.
.
.
So, 8399 is the max period for one company say starting 02jan1980 - 31dec2002.


Also, "describe date" gives us:

              storage  display     value
variable name   type   format      label      variable label
----------------------------------------------------------------------------------------------------------------------------------------------
date            float  %tbbcal

where "bcal" is the business calendar I have defined.

Many thanks for your patience Nick!!

On Mon, Apr 29, 2013 at 6:42 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> Your -date- variable varies between 0 and 8399. That can't be a daily
> date variable that includes dates like 31 Dec 2012.
>
> . di %d 8399
> 30dec1982
>
> . di %d 0
> 01jan1960
>
> So what you are showing us? You are -list-ing something; what is it?
>
> I also asked for -describe date-.
> Nick
> njcoxstata@gmail.com
>
>
> On 29 April 2013 09:25, Bernice Mi <bernicem0708@gmail.com> wrote:
>> 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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