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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 19:38:23 +1000

I -xtset- just before I run the rolling regression and it is after I
defined and formatted my business calendar. :-)

On Mon, Apr 29, 2013 at 7:26 PM, Nick Cox <njcoxstata@gmail.com> wrote:
> 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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