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


From   Bernice Mi <bernicem0708@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: Rolling regression based on trading days
Date   Wed, 1 May 2013 16:15:16 +1000

Thanks Kit.

On Tue, Apr 30, 2013 at 8:57 PM, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
> 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
>
>
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