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Re: st: rollreg - r134


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: rollreg - r134
Date   Wed, 2 May 2012 21:21:15 +0100

-rollreg- is from SSC. Please recall that you are asked to explain
where user-written programs you refer to come from.

-rollreg- itself does not ever issue error 134 so far as I can see.

My guess is this.

guess {

You are running -rollreg-, which in turn runs -tsreport-, which in
turn finds gaps. -tsreport- would use  -tabdisp- for display but you
hit limits on how much it can display.

But -rollreg- does not allow gaps any way. So what you are finding is
that -rollreg- is failing to tell you that you cannot use it because
your dataset triggers a system limit first.

}

Nick

On Wed, May 2, 2012 at 8:56 PM, "Fabian Schönenberger" <sch.f@gmx.ch> wrote:
> 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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