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st: rollreg - r134
From
"Fabian Schönenberger" <[email protected]>
To
[email protected]
Subject
st: rollreg - r134
Date
Wed, 02 May 2012 21:56:54 +0200
Dear all
I have a problem running rollreg regression for my panel data. The sample is very large, about 2'400'000 observations. First, I tsset the date:
. tsset cusip datemonthly
panel variable: cusip (unbalanced)
time variable: datemonthly, 1969m2 to 2012m2, but with gaps
delta: 1 month
I want to conduct rolling regressions for my panel date. I tried:
rollreg stockpremium marketpremium, move(36) stub(capm)
The output is:
Observations with preceding time gapstoo many values
r(134);
I did some internet research and found out that some years ago the same problem was discussed among Statalist. However, I did not find a solution for the problem. I am not sure if the problem are too many values, or the gaps. I dropped all missing observations (monthly stock prices). However, it is possible that for some cusips the sequence of months has gaps. The reason why I want to conduct rollreg is that I am interested in how the explanatory power of marketpremium changes over time.
Any advice?
Many thanks, Fabian
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