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From | "Degas Wright" <dwright@cornerstoneadvice.com> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: Foreach Command in Panel Data |
Date | Tue, 28 Sep 2010 13:21:41 -0400 |
To Statalist I have panel data of 2000 tickers, excess returns (r) and various fundamental variables such as earnings yield (ep), momentum(mom), earnings revision (rev), over a 120 month period. I am trying to use the var command to develop a time series forecast for each individual stock's excess return. I realize that I have to analyze one ticker (stock) at a time with the time series approach and assumed that using the foreach command would work. tsset panel variable: xticker (unbalanced) time variable: date, 2000m2 to 2009m6, but with gaps delta: 1 month foreach xticker in dcm.dfa1.dat{ 2. tsset date 3. var r ep mom rev 4. } repeated time values in sample r(451); However, I get the repeated time values in sample r(451). Any assistance is appreciated. Thank you, Degas A. Wright, CFA Chief Investment Officer Decatur Capital Management, Inc. 250 East Ponce De Leon Avenue, Suite 325 Decatur, Georgia 30030 Voice: 404.270.9838 Fax:404.270.9840 Website: www.decaturcapital.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/