no observations r(2000) error code

[Peter Ljungbeck]

Hello

I have a dataset of daily stock return and cash dividends for all Danish listed firms. I am interested in seeing whether significant dividend changes have explanatory value in firm performance as measured by return on assets. I, therefore, want a regression of dividends as the explanatory variable to explain next years roailag. However, when I run the regression i get the no observations r(2000) error code. My code looks as follows:

by fakeID: replace divchange =  divchange[_n-1] if missing(divchange)
by fakeID: gen lastdayiy = yfiscaldif[_n+1]
by fakeID: gen roailag = roai[_n+1]
reg roailag divchange if divchange < -.20 & divchange > .25 & divchange < 5 & lastdayiy == 1

I am only interested in significant dividend changes which is why I limit the data to only be larger than 25% or smaller than -20%. The limit on the 500% is to limit outliers in the dataset. The lastdayiy is a dummy variable for the lastdayiy that I use so that I have the current dividend change but next years return on assets by lagging the return on assets one observation. The fakeID a numeric dummy variable for company names. A part of the data looks like this:

* Example generated by -dataex-. To install: ssc install dataex
clear
input long datadate str88 conm double prccd float(roai lastdivd divchange dummy lastdayiy roailag fakeID)
15323 "A.P. MOLLER - MAERSK A/S B" 71500 .008329336 167670000 .3636364 . 0 .008329336 1
15326 "A.P. MOLLER - MAERSK A/S B" 68700 .008329336 167670000 .3636364 . 0 .008329336 1
15327 "A.P. MOLLER - MAERSK A/S B" 69500 .008329336 167670000 .3636364 . 0 .008329336 1
15328 "A.P. MOLLER - MAERSK A/S B" 68500 .008329336 167670000 .3636364 . 0 .008329336 1
15329 "A.P. MOLLER - MAERSK A/S B" 69200 .008329336 167670000 .3636364 . 0 .008329336 1
15330 "A.P. MOLLER - MAERSK A/S B" 70900 .008329336 167670000 .3636364 . 0 .008329336 1
15336 "A.P. MOLLER - MAERSK A/S B" 75500 .008329336 167670000 .3636364 . 0 .008329336 1
15337 "A.P. MOLLER - MAERSK A/S B" 76000 .008329336 167670000 .3636364 . 1 -.04935378 1
15342 "A.P. MOLLER - MAERSK A/S B" 78500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15343 "A.P. MOLLER - MAERSK A/S B" 82000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15344 "A.P. MOLLER - MAERSK A/S B" 81500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15347 "A.P. MOLLER - MAERSK A/S B" 82800 -.04935378 167670000 .3636364 . 0 -.04935378 1
15348 "A.P. MOLLER - MAERSK A/S B" 81000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15349 "A.P. MOLLER - MAERSK A/S B" 82900 -.04935378 167670000 .3636364 . 0 -.04935378 1
15350 "A.P. MOLLER - MAERSK A/S B" 81500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15351 "A.P. MOLLER - MAERSK A/S B" 80000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15354 "A.P. MOLLER - MAERSK A/S B" 79500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15355 "A.P. MOLLER - MAERSK A/S B" 78500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15356 "A.P. MOLLER - MAERSK A/S B" 77000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15357 "A.P. MOLLER - MAERSK A/S B" 79800 -.04935378 167670000 .3636364 . 0 -.04935378 1
15358 "A.P. MOLLER - MAERSK A/S B" 80000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15361 "A.P. MOLLER - MAERSK A/S B" 80000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15362 "A.P. MOLLER - MAERSK A/S B" 80200 -.04935378 167670000 .3636364 . 0 -.04935378 1
15363 "A.P. MOLLER - MAERSK A/S B" 80300 -.04935378 167670000 .3636364 . 0 -.04935378 1
15364 "A.P. MOLLER - MAERSK A/S B" 81700 -.04935378 167670000 .3636364 . 0 -.04935378 1
15365 "A.P. MOLLER - MAERSK A/S B" 82000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15368 "A.P. MOLLER - MAERSK A/S B" 82200 -.04935378 167670000 .3636364 . 0 -.04935378 1
15369 "A.P. MOLLER - MAERSK A/S B" 82700 -.04935378 167670000 .3636364 . 0 -.04935378 1
15370 "A.P. MOLLER - MAERSK A/S B" 82200 -.04935378 167670000 .3636364 . 0 -.04935378 1
15371 "A.P. MOLLER - MAERSK A/S B" 85000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15372 "A.P. MOLLER - MAERSK A/S B" 85000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15375 "A.P. MOLLER - MAERSK A/S B" 85300 -.04935378 167670000 .3636364 . 0 -.04935378 1
15376 "A.P. MOLLER - MAERSK A/S B" 83300 -.04935378 167670000 .3636364 . 0 -.04935378 1
15377 "A.P. MOLLER - MAERSK A/S B" 83300 -.04935378 167670000 .3636364 . 0 -.04935378 1
15378 "A.P. MOLLER - MAERSK A/S B" 82500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15379 "A.P. MOLLER - MAERSK A/S B" 82500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15382 "A.P. MOLLER - MAERSK A/S B" 83700 -.04935378 167670000 .3636364 . 0 -.04935378 1
15383 "A.P. MOLLER - MAERSK A/S B" 83600 -.04935378 167670000 .3636364 . 0 -.04935378 1
15384 "A.P. MOLLER - MAERSK A/S B" 83500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15385 "A.P. MOLLER - MAERSK A/S B" 84000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15386 "A.P. MOLLER - MAERSK A/S B" 83000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15389 "A.P. MOLLER - MAERSK A/S B" 82200 -.04935378 167670000 .3636364 . 0 -.04935378 1
15390 "A.P. MOLLER - MAERSK A/S B" 82000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15391 "A.P. MOLLER - MAERSK A/S B" 83000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15392 "A.P. MOLLER - MAERSK A/S B" 83000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15393 "A.P. MOLLER - MAERSK A/S B" 83000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15396 "A.P. MOLLER - MAERSK A/S B" 85800 -.04935378 167670000 .3636364 . 0 -.04935378 1
15397 "A.P. MOLLER - MAERSK A/S B" 85800 -.04935378 167670000 .3636364 . 0 -.04935378 1
15398 "A.P. MOLLER - MAERSK A/S B" 86500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15399 "A.P. MOLLER - MAERSK A/S B" 87000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15400 "A.P. MOLLER - MAERSK A/S B" 87200 -.04935378 167670000 .3636364 . 0 -.04935378 1
15403 "A.P. MOLLER - MAERSK A/S B" 89000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15404 "A.P. MOLLER - MAERSK A/S B" 92000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15405 "A.P. MOLLER - MAERSK A/S B" 89000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15406 "A.P. MOLLER - MAERSK A/S B" 88700 -.04935378 167670000 .3636364 . 0 -.04935378 1
15407 "A.P. MOLLER - MAERSK A/S B" 89800 -.04935378 167670000 .3636364 . 0 -.04935378 1
15410 "A.P. MOLLER - MAERSK A/S B" 89000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15411 "A.P. MOLLER - MAERSK A/S B" 87000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15412 "A.P. MOLLER - MAERSK A/S B" 87000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15413 "A.P. MOLLER - MAERSK A/S B" 87000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15414 "A.P. MOLLER - MAERSK A/S B" 87200 -.04935378 167670000 .3636364 . 0 -.04935378 1
15417 "A.P. MOLLER - MAERSK A/S B" 89100 -.04935378 167670000 .3636364 . 0 -.04935378 1
15418 "A.P. MOLLER - MAERSK A/S B" 89900 -.04935378 167670000 .3636364 . 0 -.04935378 1
15419 "A.P. MOLLER - MAERSK A/S B" 88600 -.04935378 167670000 .3636364 . 0 -.04935378 1
15420 "A.P. MOLLER - MAERSK A/S B" 88900 -.04935378 167670000 .3636364 . 0 -.04935378 1
15421 "A.P. MOLLER - MAERSK A/S B" 89000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15424 "A.P. MOLLER - MAERSK A/S B" 88500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15425 "A.P. MOLLER - MAERSK A/S B" 84500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15426 "A.P. MOLLER - MAERSK A/S B" 82900 -.04935378 167670000 .3636364 . 0 -.04935378 1
15432 "A.P. MOLLER - MAERSK A/S B" 84800 -.04935378 167670000 .3636364 . 0 -.04935378 1
15433 "A.P. MOLLER - MAERSK A/S B" 86000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15434 "A.P. MOLLER - MAERSK A/S B" 85200 -.04935378 167670000 .3636364 . 0 -.04935378 1
15435 "A.P. MOLLER - MAERSK A/S B" 86000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15438 "A.P. MOLLER - MAERSK A/S B" 83100 -.04935378 167670000 .3636364 . 0 -.04935378 1
15439 "A.P. MOLLER - MAERSK A/S B" 83500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15440 "A.P. MOLLER - MAERSK A/S B" 84400 -.04935378 167670000 .3636364 . 0 -.04935378 1
15441 "A.P. MOLLER - MAERSK A/S B" 81800 -.04935378 167670000 .3636364 . 0 -.04935378 1
15442 "A.P. MOLLER - MAERSK A/S B" 81500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15445 "A.P. MOLLER - MAERSK A/S B" 81500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15446 "A.P. MOLLER - MAERSK A/S B" 83000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15447 "A.P. MOLLER - MAERSK A/S B" 81500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15448 "A.P. MOLLER - MAERSK A/S B" 80800 -.04935378 167670000 .3636364 . 0 -.04935378 1
15449 "A.P. MOLLER - MAERSK A/S B" 77400 -.04935378 167670000 .3636364 . 0 -.04935378 1
15452 "A.P. MOLLER - MAERSK A/S B" 77500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15453 "A.P. MOLLER - MAERSK A/S B" 75500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15454 "A.P. MOLLER - MAERSK A/S B" 74000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15455 "A.P. MOLLER - MAERSK A/S B" 74500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15459 "A.P. MOLLER - MAERSK A/S B" 73500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15460 "A.P. MOLLER - MAERSK A/S B" 75100 -.04935378 167670000 .3636364 . 0 -.04935378 1
15461 "A.P. MOLLER - MAERSK A/S B" 74166 -.04935378 167670000 .3636364 . 0 -.04935378 1
15462 "A.P. MOLLER - MAERSK A/S B" 76270 -.04935378 167670000 .3636364 . 0 -.04935378 1
15463 "A.P. MOLLER - MAERSK A/S B" 76900 -.04935378 167670000 .3636364 . 0 -.04935378 1
15466 "A.P. MOLLER - MAERSK A/S B" 77000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15467 "A.P. MOLLER - MAERSK A/S B" 76500 -.04935378 167670000 .3636364 . 0 -.04935378 1
15468 "A.P. MOLLER - MAERSK A/S B" 77000 -.04935378 167670000 .3636364 . 0 -.04935378 1
15470 "A.P. MOLLER - MAERSK A/S B" 76200 -.04935378 167670000        0 1 0 -.04935378 1
15473 "A.P. MOLLER - MAERSK A/S B" 74500 -.04935378 167670000        0 . 0 -.04935378 1
15474 "A.P. MOLLER - MAERSK A/S B" 74000 -.04935378 167670000        0 . 0 -.04935378 1
15475 "A.P. MOLLER - MAERSK A/S B" 74500 -.04935378 167670000        0 . 0 -.04935378 1
15476 "A.P. MOLLER - MAERSK A/S B" 74000 -.04935378 167670000        0 . 0 -.04935378 1
end
format %d datadate

[Richard Williams]

divchange < -.20 & divchange > .25

This is not possible, i.e. divchange cannot be both < -.20 AND greater > .25. e.g. if divchange = -.25 then it would not be greater than .25. You need to rewrite the selection using or statements