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From | Bernice Mi <bernicem0708@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Rolling regression based on trading days |
Date | Mon, 29 Apr 2013 18:55:05 +1000 |
Hi Nick, Sorry for confusing you. My data look like this: company date price return 1 02jan1990 1 03jan1990 1 04jan1990 . . . 1 31dec1991 2 02jan1980 2 03jan1980 . . . 2 31dec2012 . . . So, 8399 is the max period for one company say starting 02jan1980 - 31dec2002. Also, "describe date" gives us: storage display value variable name type format label variable label ---------------------------------------------------------------------------------------------------------------------------------------------- date float %tbbcal where "bcal" is the business calendar I have defined. Many thanks for your patience Nick!! On Mon, Apr 29, 2013 at 6:42 PM, Nick Cox <njcoxstata@gmail.com> wrote: > Your -date- variable varies between 0 and 8399. That can't be a daily > date variable that includes dates like 31 Dec 2012. > > . di %d 8399 > 30dec1982 > > . di %d 0 > 01jan1960 > > So what you are showing us? You are -list-ing something; what is it? > > I also asked for -describe date-. > Nick > njcoxstata@gmail.com > > > On 29 April 2013 09:25, Bernice Mi <bernicem0708@gmail.com> wrote: >> Many thanks for your prompt reply Nick. Although delta is .001 >> seconds, when I run rolling regression, it is still based on calendar >> days (not trading days as I want). >> >> The partial results are below. I really appreciate your help! >> 864761. | 26nov2012 | >> 864762. | 27nov2012 | >> 864763. | 28nov2012 | >> 864764. | 29nov2012 | >> 864765. | 30nov2012 | >> |-----------| >> 864766. | 03dec2012 | >> 864767. | 04dec2012 | >> 864768. | 05dec2012 | >> 864769. | 06dec2012 | >> 864770. | 07dec2012 | >> |-----------| >> 864771. | 10dec2012 | >> 864772. | 11dec2012 | >> 864773. | 12dec2012 | >> 864774. | 13dec2012 | >> 864775. | 14dec2012 | >> |-----------| >> 864776. | 17dec2012 | >> 864777. | 18dec2012 | >> 864778. | 19dec2012 | >> 864779. | 20dec2012 | >> 864780. | 21dec2012 | >> |-----------| >> 864781. | 24dec2012 | >> 864782. | 26dec2012 | >> 864783. | 27dec2012 | >> 864784. | 28dec2012 | >> 864785. | 31dec2012 | >> +-----------+ >> >> . >> end of do-file >> >> . do "C:\Users\lmi\AppData\Local\Temp\STD02000000.tmp" >> >> . su date >> >> Variable | Obs Mean Std. Dev. Min Max >> -------------+-------------------------------------------------------- >> date | 864785 4144.932 2229.524 0 8399 >> >> . >> >> On Mon, Apr 29, 2013 at 6:16 PM, Nick Cox <njcoxstata@gmail.com> wrote: >>> 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/ >> * >> * 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/ * * 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/