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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 10:26:37 +0100

I suspect that you need to revisit your -xtset- statement. The default
of -xtset- is to make a guess based on the format of the time
variable. However, if you defined your business calendar after your
-xtset-, that would not, I think, have any effect. Either way, -xtset-
needs to be disabused of its settings.
Nick
njcoxstata@gmail.com


On 29 April 2013 10:12, Bernice Mi <bernicem0708@gmail.com> wrote:
> Thanks Nick. That is also question. While the -xtset- is reporting ms,
> the rolling regression is running on a calendar day basis though I
> have formatted the dates as business calendar.
>
> Much appreciated for your time and help Nick!! :-)
>
> On Mon, Apr 29, 2013 at 7:08 PM, Nick Cox <njcoxstata@gmail.com> wrote:
>> It's me that is being slow. You did say that you have a business
>> calendar format in operation. So your last date is (presumably)
>> 31dec2012 (not 31dec2002).
>>
>> But I don't understand why the -xtset- is reporting ms, so I remain
>> unclear where the problem is.
>>
>> Nick
>> njcoxstata@gmail.com
>>
>>
>> On 29 April 2013 09:55, Bernice Mi <bernicem0708@gmail.com> wrote:
>>> 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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