Re: st: Stata loop execution, failing to take into consideration all variables

[Nick Cox <njcoxstata@gmail.com>]

I don't have your data, but in any case the bigger issue is how to
debug a problem like this. I would take your loops and turn them into
code that spits out what data are being identified. Looking at the
first few funds should help to identify what is being looked at, say

forvalues f= 1/10 {
        forvalues y=1998(1)2010{
                        forvalues m=1(1)12{
                               list reg exret mktrf hml smb if
fundid==`f' & (date>=ym(`y'-3,`m') & date<=ym(`y',`m'))
                }
        }
 }

or (less output, and also less diagnostic, but may reveal a problem)

forvalues f= 1/10 {
        forvalues y=1998(1)2010{
                        forvalues m=1(1)12{
                               count if fundid==`f' &
(date>=ym(`y'-3,`m') & date<=ym(`y',`m'))
                }
        }
 }

On Wed, Mar 2, 2011 at 1:11 PM, S.A.J.van Vijfeijken
<S.A.J.vanVijfeijken@uvt.nl> wrote:


> As a means of return comparisment in my mutual fund research I am using the Fama-French factors as a measurement of excess return.
>
> However, when I want to regress the Fama-French factors for every fund in my database Stata only calculates the values for the first fund number.
>
> The data used is from the CRSP mutual fund data base, monthly mutual fund returns and the monthly Fama-French factors from the website of Kenneth R.  French for the 1995-2010 period. I have used the panel data command tsset to let Stata know I’m using panel data.
>
> The part of the code that does not work is as follows:
>
> gen exret = mret - rf
> sort crsp_fundno
> egen fundid = group(crsp_fundno)
> gen hmlexp = .
> gen smbexp = .
> gen performance = .
>
> forvalues f= 1(1)11281{
>        forvalues y=1998(1)2010{
>                        forvalues m=1(1)12{
>                        quietly reg exret mktrf hml smb if fundid==`f' & (date>=ym(`y'-3,`m') & date<=ym(`y',`m'))
>                        replace performance = _b[_cons] if e(sample)
>                        replace hmlexp = _b[hml] if e(sample)
>                        replace smbexp = _b[smb] if e(sample)
>                }
>        }
> }
>
> As you can see I want the data for the 1998-2010 period and I have 11281 mutual funds in my data currently. However Stata only calculates the coefficients for the first fund, and leaves all the others as missing(.), the way they are generated. I looked at the Statalist database and the FAQ, however the solutions offered there did not help.
> http://www.stata.com/support/faqs/data/foreach.html
> I cannot figure out why Stata stops after the first fund and can’t find the error in the code (if there is one).
>

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