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| From | Bernice Mi <bernicem0708@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| 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 <njcoxstata@gmail.com> wrote: > I'd try Stata technical support if you don't get a better answer from list. > > Nick > njcoxstata@gmail.com > > > On 29 April 2013 10:38, Bernice Mi <bernicem0708@gmail.com> 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 <njcoxstata@gmail.com> 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 >>> njcoxstata@gmail.com >>> >>> >>> On 29 April 2013 10:12, Bernice Mi <bernicem0708@gmail.com> 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 <njcoxstata@gmail.com> 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 >>>>> njcoxstata@gmail.com >>>>> >>>>> >>>>> On 29 April 2013 09:55, Bernice Mi <bernicem0708@gmail.com> 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 <njcoxstata@gmail.com> 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 >>>>>>> njcoxstata@gmail.com >>>>>>> >>>>>>> >>>>>>> On 29 April 2013 09:25, Bernice Mi <bernicem0708@gmail.com> 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 <njcoxstata@gmail.com> 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 >>>>>>>>> njcoxstata@gmail.com >>>>>>>>> >>>>>>>>> >>>>>>>>> On 29 April 2013 08:53, Bernice Mi <bernicem0708@gmail.com> 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 >>>>>>>>>> * >>>>>>>>>> * 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/ >>>>>>>>> * >>>>>>>>> * 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/ >>>>>>>> * >>>>>>>> * 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/ >>>>>>> * >>>>>>> * 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/ >>>>>> * >>>>>> * 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/ >>>>> * >>>>> * 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/ >>>> * >>>> * 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/ >>> * >>> * 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/ >> * >> * 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/ > * > * 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/ * * 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/