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Re: st: Rolling regression based on trading days
From
Bernice Mi <[email protected]>
To
[email protected]
Subject
Re: st: Rolling regression based on trading days
Date
Mon, 29 Apr 2013 19:46:52 +1000
Oh. thank you thank you. I will ask my supervisor tomorrow. Really
appreciate your time and help Nick!
On Mon, Apr 29, 2013 at 7:43 PM, Nick Cox <[email protected]> wrote:
> I'd try Stata technical support if you don't get a better answer from list.
>
> Nick
> [email protected]
>
>
> On 29 April 2013 10:38, Bernice Mi <[email protected]> wrote:
>> I -xtset- just before I run the rolling regression and it is after I
>> defined and formatted my business calendar. :-)
>>
>> On Mon, Apr 29, 2013 at 7:26 PM, Nick Cox <[email protected]> wrote:
>>> I suspect that you need to revisit your -xtset- statement. The default
>>> of -xtset- is to make a guess based on the format of the time
>>> variable. However, if you defined your business calendar after your
>>> -xtset-, that would not, I think, have any effect. Either way, -xtset-
>>> needs to be disabused of its settings.
>>> Nick
>>> [email protected]
>>>
>>>
>>> On 29 April 2013 10:12, Bernice Mi <[email protected]> wrote:
>>>> 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 <[email protected]> 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
>>>>> [email protected]
>>>>>
>>>>>
>>>>> On 29 April 2013 09:55, Bernice Mi <[email protected]> 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 <[email protected]> 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
>>>>>>> [email protected]
>>>>>>>
>>>>>>>
>>>>>>> On 29 April 2013 09:25, Bernice Mi <[email protected]> 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 <[email protected]> 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
>>>>>>>>> [email protected]
>>>>>>>>>
>>>>>>>>>
>>>>>>>>> On 29 April 2013 08:53, Bernice Mi <[email protected]> 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
>>>>>>>>>> *
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