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From | Christopher Baum <kit.baum@bc.edu> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | Re: Re: st: Rolling regression based on trading days |
Date | Tue, 30 Apr 2013 10:57:54 +0000 |
<> On Apr 30, 2013, at 2:33 AM, statalist-digest 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. This was a bug with the handling of business calendars which I reported. It was fixed in the 20 Mar 2013 update; see help whatsnew. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html | http://www.crup.com.cn/Item/111779.aspx * * 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/