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From |
Michael Hanson <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Troubleshooting 'not sorted' and 'not regularly spaced' errors in newey and newey2 |

Date |
Sat, 11 Oct 2008 12:14:47 -0400 |

I have seen this problem before. The bottom line seems to be:

gen L1_LnRtFiveYrMid = L1.LnRtFiveYrMid gen L2_LnRtFiveYrMid = L2.LnRtFiveYrMid etc. and then use the appropriate L?_* variables as regressors.

HTH, Mike // Test -newey-, -newey2- with gaps and lags webuse ibm, clear // Note that "date" is a Stata date variable with gaps (business daily)

tsset date newey ibm L(1/2).ibm L(0/2).spx, lag(2) // date is not regularly spaced newey2 ibm L(1/2).ibm L(0/2).spx, lag(2) // date is not regularly spaced -- use the force option to override newey2 ibm L(1/2).ibm L(0/2).spx, lag(2) force // not sorted tsset t newey ibm L(1/2).ibm L(0/2).spx, lag(2) // Works! newey2 ibm L(1/2).ibm L(0/2).spx, lag(2) // not sorted newey2 ibm L(1/2).ibm L(0/2).spx, lag(2) force // not sorted foreach var of varlist ibm spx { forval l = 0/2 { g L`l'_`var' = L`l'.`var' } } drop L0_ibm tsset date newey ibm L?_ibm L?_spx, lag(2) // date is not regularly spaced newey2 ibm L?_ibm L?_spx, lag(2) // date is not regularly spaced -- use the force option to override newey2 ibm L?_ibm L?_spx, lag(2) force // Works! tsset t newey ibm L?_ibm L?_spx, lag(2) // Works! newey2 ibm L?_ibm L?_spx, lag(2) // Works! newey2 ibm L?_ibm L?_spx, lag(2) force // Works! // end teset of -newey-, -newey2- On Oct 9, 2008, at 7:09 PM, Thomas Jacobs wrote:

Fellow listers, I am trying to understand the cause of intermittenterrors"[time series variable] is not regularly spaced" and "not sorted" when trying to run newey and newey2 on panel data with approximately 50 companies and 900 trade days of market variables. I have ensured that my time variable is consecutive for all firms: . xtset panel variable: CompanyNum (unbalanced) time variable: TradeDateNe~m, 1 to 902 delta: 1 unit and while not perfectly balanced (one firm begins at TradeDateNewNumber 23 as opposed to 1) it is much closer to balanced than not. I can force newey to work . newey LnRtFiveYrMid L(1/2).LnRtFiveYrMid L(0/4).LnRtCDX LnRtCMT LnRtTED L(0/2).LnRtStock ,lag(4) force[output excluded placed at bottom of note for readability] but the same command on newey2 produces not sorted: . newey2 LnRtFiveYrMid L(1/2).LnRtFiveYrMid L(0/4).LnRtCDX LnRtCMT LnRtTED L(0/2).LnRtStock, lag(4) forcenot sorted I have tried sorting by time variable first as opposed to panel and time, the default, with no effect. Without force I nearly always get: . newey LnRtStock LnRtSP500, lag(2) TradeDateNewNum is not regularly spaced If I drop the one firm I mentioned to perfectly balance the dataset: . xtset panel variable: CompanyNum (strongly balanced) time variable: TradeDateNe~m, 1 to 902 delta: 1 unit and run newey without force: . newey LnRtFiveYrMid L(1/2).LnRtFiveYrMid L(0/4).LnRtCDX LnRtCMT LnRtTED L(0/2).LnRtStock ,lag(4)TradeDateNewNum is not regularly spaced force works: . newey LnRtFiveYrMid L(1/2).LnRtFiveYrMid L(0/4).LnRtCDX LnRtCMT LnRtTED L(0/2).LnRtStock ,lag(4) forcebut I have problems with newey2 either way . newey2 LnRtFiveYrMid L(1/2).LnRtFiveYrMid L(0/4).LnRtCDX LnRtCMT LnRtTED L(0/2).LnRtStock, lag(4)TradeDateNewNum is not regularly spaced -- use the force option tooverrider(198); . newey2 LnRtFiveYrMid L(1/2).LnRtFiveYrMid L(0/4).LnRtCDX LnRtCMT LnRtTED L(0/2).LnRtStock, lag(4) forcenot sorted r(5); The only thing I can think of is that one of my independent variables in the regressions, LnRTCDX, is missing about 15 values over the range of the time series. This question was posted four years ago without a satisfactory reply save for read the FAQ. Can anyone help me to continue troubleshooting or to understand the cause of these errors? Output from original successful implementation of newey:Regression with Newey-West standard errors Number of obs= 46545maximum lag: 4 F( 12, 46532)= 323.37Prob > F= 0.0000------------------------------------------------------------------------------| Newey-WestLnRtFiveYr~d | Coef. Std. Err. t P>|t| [95%Conf. Interval]-------------+----------------------------------------------------------------LnRtFiveYr~d |L1. | -.1238135 .0154237 -8.03 0.000 -.1540441 -.0935829L2. | -.043356 .013119 -3.30 0.001 -.0690694 -.0176426LnRtCDX |--. | .4423975 .01975 22.40 0.000 .4036871 .4811079L1. | .3530493 .0143778 24.56 0.000 .3248685 .38123L2. | .0776956 .0143038 5.43 0.000 .0496599 .1057312L3. | .0978518 .0105124 9.31 0.000 .0772474 .1184562L4. | .0906659 .0097509 9.30 0.000 .0715539 .1097778LnRtCMT | -.2242314 .0194782 -11.51 0.000 -.262409 -.1860538LnRtTED | -.0140888 .0032 -4.40 0.000 -.0203609 -.0078166LnRtStock |--. | -.1728564 .0566356 -3.05 0.002 -.2838631 -.0618497L1. | -.1885385 .0431331 -4.37 0.000 -.27308 -.1039969L2. | -.0669546 .0234642 -2.85 0.004 -.1129447 -.0209644_cons | .0008108 .0002241 3.62 0.000 .0003716 .0012499-------------------------------------------------------------------------------- Thomas Jacobs * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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