st: RE: RE: Foreach Command in Panel Data

[Nick Cox <n.j.cox@durham.ac.uk>]

Actually, it's interesting that this gets past 

foreach xticker in dcm.dfa1.dat {

but the reason is that you never refer to `xticker' within the loop. Thus another problem with this loop is that it would never repeat anything. 

Nick 
n.j.cox@durham.ac.uk 

Nick Cox

If it's panel data, the appropriate -tsset- specifies both identifier and time variable. Without a panel identifier, the report you get is, if you think more about it, what you should expect. 

The deeper issue of whether it makes scientific sense to forecast stocks in isolation is not one I can usefully comment on. 

Degas Wright

I have panel data of 2000 tickers, excess returns (r) and various
fundamental variables such as earnings yield (ep), momentum(mom),
earnings revision (rev), over a 120 month period.  I am trying to use
the var command to develop a time series forecast for each individual
stock's excess return.  I realize that I have to analyze one ticker
(stock) at a time with the time series approach and assumed that using
the foreach command would work.

tsset
       panel variable:  xticker (unbalanced)
        time variable:  date, 2000m2 to 2009m6, but with gaps
                delta:  1 month


foreach xticker in dcm.dfa1.dat{
  2. tsset date
  3. var r ep mom rev
  4. }
repeated time values in sample
r(451);

However, I get the repeated time values in sample r(451).

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