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

From   Christopher Baum <>
To   "" <>
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 Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |

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