Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Nick Cox <njcoxstata@gmail.com> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: Rolling regression based on trading days |
| Date | Mon, 29 Apr 2013 09:16:26 +0100 |
It seems that you have daily data. So why does -xtset- report milliseconds? Show us the results of say . describe date . su date . list date in 1/5 I don't know offhand whether -rolling- is smart about business calendars. Introducing business calendars is an on-going project for StataCorp and I don't have access to Stata 12 right now. But if Stata thinks your time variable is clock time in ms, it won't be paying much attention to business calendars. As far as it is concerned you have in total about 1 second's worth of data. Nick njcoxstata@gmail.com On 29 April 2013 08:53, Bernice Mi <bernicem0708@gmail.com> wrote: > Hi All, > > I have an unbalanced panel data with the dates being trading days. I > have already defined and formatted (using %tbcalname) the dates as > business calendar. I checked by testing the lead and lag days - it > worked. However, when I xtset company date, it shows that delta is > 0.001 seconds. Moreover, when I run rolling regression for 3 years, it > turns up to be 1035 (roughly 360*3) replications not around 780 (i.e. > 260*3) replications. > > I am new user of Stata and could not figure out where I went wrong. > Please help me. > > Many thanks!! > > Bernice > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/