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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: rollreg - r134 |

Date |
Thu, 3 May 2012 09:27:33 +0100 |

Kit's answer was better. If getting rid of the gaps means working with the longest possible unbroken spell in each panel, then that is a method easy to explain. Nick On Thu, May 3, 2012 at 8:27 AM, Nick Cox <njcoxstata@gmail.com> wrote: > I won't encourage or support your doing this. It's at best a fudge. I > think you need to write a loop from first principles. > > Nick > > On Wed, May 2, 2012 at 10:15 PM, "Fabian Schönenberger" <sch.f@gmx.ch> wrote: >> Oh, yes, rollreg from SSC. >> >> OK. So I have to get rid off the gaps. I have generated a new variable: >> by cusip: generate datecontrol=datemonthly[_n]-datemonthly[_n-1] >> >> If the variable is larger than 1 there is a gap in the monthly time series. Instead of dropping a cusip completely if there is datecontrol>1, I would like to keep either the observations befor or after the gap depending on the length of the time series without a datecontrol>1. The longer the better. >> >> How do I have to proceed or is there a more elegant way? > > Von: Nick Cox <njcoxstata@gmail.com> >> >>> -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. >>> > * * 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/

**Follow-Ups**:**Re: st: rollreg - r134***From:*"Fabian Schönenberger" <sch.f@gmx.ch>

**References**:**st: rollreg - r134***From:*"Fabian Schönenberger" <sch.f@gmx.ch>

**Re: st: rollreg - r134***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: rollreg - r134***From:*"Fabian Schönenberger" <sch.f@gmx.ch>

**Re: st: rollreg - r134***From:*Nick Cox <njcoxstata@gmail.com>

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