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Re: st: rollreg - r134
Nick Cox <firstname.lastname@example.org>
Re: st: rollreg - r134
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.
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.
On Wed, May 2, 2012 at 8:56 PM, "Fabian Schönenberger" <email@example.com> 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
> 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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