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From |
"Fabian Schönenberger" <sch.f@gmx.ch> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: rollreg - r134 |

Date |
Thu, 03 May 2012 11:28:19 +0200 |

Many thanks for your and Kit's advice. I try Kit's advice and rerun rollreg. Stata is till working ... I guess it takes a couple of hours. Best regards, Fabian -------- Original-Nachricht -------- > Datum: Thu, 3 May 2012 09:27:33 +0100 > Von: Nick Cox <njcoxstata@gmail.com> > An: statalist@hsphsun2.harvard.edu > Betreff: Re: st: rollreg - r134 > 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/ -- 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/

**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>

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

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