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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 19:12:39 +1000 |
Thanks Nick. That is also question. While the -xtset- is reporting ms, the rolling regression is running on a calendar day basis though I have formatted the dates as business calendar. Much appreciated for your time and help Nick!! :-) On Mon, Apr 29, 2013 at 7:08 PM, Nick Cox <njcoxstata@gmail.com> wrote: > It's me that is being slow. You did say that you have a business > calendar format in operation. So your last date is (presumably) > 31dec2012 (not 31dec2002). > > But I don't understand why the -xtset- is reporting ms, so I remain > unclear where the problem is. > > Nick > njcoxstata@gmail.com > > > On 29 April 2013 09:55, Bernice Mi <bernicem0708@gmail.com> wrote: >> 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/ > * > * 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/