Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: Re: st: Rolling regression based on trading days


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: Re: st: Rolling regression based on trading days
Date   Tue, 30 Apr 2013 10:57:54 +0000

<>
On Apr 30, 2013, at 2:33 AM, statalist-digest 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.

This was a bug with the handling of business calendars which I reported. It was fixed in the 20 Mar 2013 update; see help whatsnew.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
                                                                                                   | http://www.crup.com.cn/Item/111779.aspx	


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index