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Re: Re: st: Rolling regression based on trading days
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
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
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