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From | "Fabian Schönenberger" <sch.f@gmx.ch> |
To | statalist@hsphsun2.harvard.edu |
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 -- NEU: FreePhone 3-fach-Flat mit kostenlosem Smartphone! Jetzt informieren: http://mobile.1und1.de/?ac=OM.PW.PW003K20328T7073a * * 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/