Asreg rolling window returns missing values

[Sandra Arendonk]

Hi,

I am dealing with missing values when using asreg. I have read Attaullah Shah's explanation of the package but I still don't know where I'm messing up.

Goal:
My aim is to calculate abnormal cash flows from operation (CFO). In order to do so I must first run a regression on CFO of each industry-year. Then I subtract those coefficients from the actual CFO for every firm.

Stata:
Run a cross-sectional regression for each industry-year and save the coefficients.

I run the following commands
bys sic : asreg CFO scassets scsales scdsales, robust window(year 5)
list year _b_cons _b_scassets _b_scsales _b_scdsales in 1/25

Problem:
My issue is the following: whenever I run the command I get missing values in certain years.

* Example generated by -dataex-. To install: ssc install dataex
clear
input long gvkey double year int sic str10 rating float(POST treated treated2 treated3 PROD DEXP CFO) double at float(scsales scassets)
  3362 2007 2000 "BBB+" 0 0 0 1  .6884373  .1846732   .00862659  13682.5  .9805838 .00008449157
  3362 2013 2000 "BBB-" 1 0 0 1  .6505319  .1247372   .07601947  19366.4  .8675491 .00004900687
  3362 2012 2000 "BBB"  1 1 0 1 1.0465395   .222297   .12342355  20405.3 1.3539184 .00008739808
  3362 2010 2000 "BBB"  1 1 0 1  .7840263  .1755921   .11520702  11408.7 1.0481428 .00008519339
  3362 2006 2000 "BBB+" 0 0 0 1  .8010228 .19678298   .07781902  11835.5  .9937474 .00008248783
  3362 2011 2000 "BBB"  1 1 0 1  .8861746  .2145906   .09221033  11441.9 1.1624988  .0000876524
  3362 2015 2000 "BBB-" 1 0 0 1  .4280934  .1331361  .068828315  13390.6  .6637081 .00005700539
  3362 2008 2000 "BBB+" 0 0 0 1  .7063987 .15496437  .009062671  11073.3  .9304732 .00007308606
  3362 2009 2000 "BBB"  0 1 0 1  .7453424  .2042571   .13299559    11738 1.0908582 .00009030732
  3362 2016 2000 "BBB"  1 1 0 1  .3398802 .11188445   .08778546  10096.3 .58450705 .00007467925
  3362 2014 2000 "BBB-" 1 0 0 1  .6097158 .11453342     .076452  17542.2   .817519 .00005163582
 10793 2012 2011 "BBB-" 1 0 0 1 2.7893596 .12970825   .10721705    11896  3.005871 .00009032608
  5709 2014 2011 "A"    1 0 0 0 1.5670245  .1607948    .1519319 5455.619  1.895135 .00020342237
  5709 2002 2011 "A"    0 0 0 0  .6962887 .17685835   .07717835 2220.196  .9173973  .0002346096
 10793 2014 2011 "BBB"  1 1 0 1  2.853248 .15414305   .09673975    23956  3.086146 .00008212203
  5709 2013 2011 "A"    1 0 0 0  1.584465   .162017   .13974798  4915.88 1.9175546  .0002191077
  5709 2009 2011 "A"    0 0 0 0 1.4504447 .18971063    .1522946 3692.055 1.8066428 .00027651267
  5709 2004 2011 "A"    0 0 0 0  1.501653  .3585828   .12315717 2533.968 1.9973395  .0004178644
  5709 2016 2011 "A"    1 0 0 0 1.1768237  .1809128   .16170608 6370.067 1.5510564 .00016287093
 10793 2010 2011 "BB"   1 0 1 0  4.707277 1.0666528    .9854583    10752 20.489824  .0007207114
  5709 2005 2011 "A"    0 0 0 0  1.612697  .3823722   .16954516 2822.406 2.1365688   .000394638
  5709 2011 2011 "A"    1 0 0 0  1.610507 .18828353   .12098888 4244.391 1.9475206 .00024667496
  5709 2015 2011 "A"    1 0 0 0 1.3289115  .1671508    .1818294 6139.831 1.6980407 .00018329726
  5709 2006 2011 "A"    0 0 0 0 1.5314457  .3686181     .115995 3060.306  2.035668 .00035430765
 10793 2016 2011 "BBB"  1 1 0 1 1.3624152 .09394018   .11806642    22373  1.603243  .0000434707
 10793 2011 2011 "BB+"  1 0 0 0  2.783575 .14025298   .09728423    11071   3.00093 .00009300595
  5709 2010 2011 "A"    1 0 0 0 1.6029158  .2018369   .13150725 4053.918 1.9557452 .00027085186
 10793 2015 2011 "BBB"  1 1 0 1 1.5148606 .11362498   .10728002    23004 1.7270412  .0000417432
  5709 2012 2011 "A"    1 0 0 0 1.6124865 .17412816   .12199182 4563.966 1.9391875 .00023560507
  5709 2003 2011 "A"    0 0 0 0 1.4182874   .362713    .1140665 2393.121 1.8918726  .0004504107
 10793 2013 2011 "BBB"  1 1 0 1  2.650723 .13349025    .1104573    12177  2.889543 .00008406187
  5709 2007 2011 "A"    0 0 0 0 1.5448792  .3423619   .11033504  3393.65 2.0236642  .0003267647
  5709 2008 2011 "A"    0 0 0 0 1.5453984  .3340091   .08032414 3616.471 1.9904536   .000294668
 12785 2014 2015 "BB"   1 0 1 0 2.2155902 .06203312    .3362411 3119.063  2.705636 .00031521855
170527 2016 2015 "B"    1 0 0 0  .3650492 .11268491   .05448787   9360.6  .5451824 .00010845516
170527 2012 2015 "B+"   1 0 0 0 .26878026  .3094643    .1124473   2732.3  .7487896   .000780884
 12785 2015 2015 "BB"   1 0 1 0   2.17523 .06818747    .3131799 3318.443  2.622616  .0003206091
170527 2013 2015 "B"    1 0 0 0 .21201918 .14998353   .04362625   3473.8  .3784724   .000365992
 12785 2012 2015 "B"    1 0 0 0  2.475329 .05908879   .06296294 2913.869  2.561546  .0003154077
 12785 2016 2015 "BB"   1 0 1 0  2.064814 .06309616    .2276619 3008.218  2.390013 .00030134615
170527 2014 2015 "B"    1 0 0 0   .557689 .15703264   .05270885   7731.1  .6940814  .0002878692
170527 2015 2015 "B"    1 0 0 0 .43944585 .11094152   .05841342   9220.4   .601234  .0001293477
 12785 2013 2015 "B"    1 0 0 0 2.4994414 .06510759    .3015005 3172.402  2.886591  .0003431863
 62655 2011 2020 "B+"   1 0 0 0 1.2303208  .3467688   .05646711 5754.363 1.6408243 .00012568076
 62655 2009 2020 "BB-"  0 0 0 0 1.1139048  .3725135   .09355895 7843.941  1.584955 .00014204158
 62655 2016 2020 "BB-"  1 0 0 0  2.215955  .6891779   .10182416 2606.227  3.049913  .0003955673
 62655 2015 2020 "BB-"  1 0 0 0 2.1660056   .641507   .14736702 2528.015  2.932393  .0003610583
180833 2014 2020 "BBB"  1 1 0 1  .4690999  .7117527    .2283757   3776.5  1.269192 .00028784433
124554 2003 2020 "B"    0 0 0 0  .3330927  .2638978   .05275728  158.494  .5735661  .0044558514
124554 2004 2020 "B"    0 0 0 0  .4485659  .3648719 -.003337666  148.374  .7304882   .004607934
180833 2010 2020 "BBB"  1 1 0 1 .54663575  .6991258    .2483698   2293.1 1.5174612  .0004830218
 62655 2010 2020 "B+"   1 0 0 0 1.1269369  .3498856    .0681373 7956.667 1.5455097 .00012748693
180833 2013 2020 "BBB"  1 1 0 1  .4752931  .6115033      .24756   3474.1   1.28927  .0003069179
124554 2002 2020 "B"    0 0 0 0 .05437573 .12980792   .00302532  224.424 .24946304  .0014551805
180833 2009 2020 "BBB"  0 1 0 1  .1045552 .13254008   .05889082   2070.3 .28868347  .0001021346
124554 2006 2020 "B-"   0 0 0 0   .783308  .3833778 .0005940799  180.477 1.1230181   .004607934
180833 2012 2020 "BBB"  1 1 0 1  .4732543  .6439931   .25036144   3258.2 1.4100405  .0003614284
124554 2005 2020 "B-"   0 0 0 0  .7544179  .4105639 -.029331284  183.477 1.0091795   .004607934
 62655 2014 2020 "B+"   1 0 0 0  2.733973  .5958056   .05458371 2769.636 3.3915215  .0003568822
 62655 2013 2020 "B+"   1 0 0 0 1.2050616 .29052427  -.05567715 2802.045  1.585401  .0001758368
180833 2011 2020 "BBB"  1 1 0 1  .6389604  .9181021    .2759583   2766.8 1.6035062  .0004360909
 62655 2012 2020 "B+"   1 0 0 0 1.4385157  .4618167   .07655791 5687.091  1.991928  .0001737812
180833 2016 2020 "BBB"  1 1 0 1  .3076461  .5531877   .17298217   4087.7  .9361197  .0002501188
 62655 2008 2020 "BB-"  0 0 0 0  4.707277 2.2161098    .9287363 7040.192 16.111132  .0012935874
180833 2015 2020 "BBB"  1 1 0 1  .3376936  .6296836    .2409374   3998.1 1.0780617 .00026479544
  2663 2013 2030 "BBB+" 1 0 0 1  .7470138  .3520674     .156049     8323  1.233078 .00015313935
  2663 2016 2030 "BBB+" 1 0 0 1  .5983434  .2635678    .1808629     7837   .984176 .00012362468
  2663 2011 2030 "A"    1 0 0 0  .7001275  .3774697   .18196303     6862 1.2299235 .00015933716
185334 2016 2030 "BB-"  1 0 0 0  .4022305  .0783853   .09129146 6739.645 .58574706   .000187263
  2663 2014 2030 "BBB+" 1 0 0 1  .6167247 .25964195   .10801394     8113  .9933918 .00012014899
  2663 2012 2030 "A-"   1 0 0 0  .6417954  .3478578   .16321772     6530 1.1231419  .0001457301
185334 2014 2030 "B+"   1 0 0 0  .3582445 .06357781   .10838207 5200.945  .5099558 .00019680425
  2663 2015 2030 "BBB+" 1 0 0 1  .6123505 .25391346    .1456921     8089   .996179 .00012325897
185334 2013 2030 "B"    1 0 0 0 .39567265  .0770777   .05960062 5081.191  .5594338 .00022727334
185334 2012 2030 "B"    1 0 0 0  .4053441 .07759278   .04962522 4399.988  .6063275 .00024463635
  2663 2010 2030 "A"    1 0 0 0 1.2898895   .737967     .321795     6276 2.3368952  .0003044418
185334 2015 2030 "BB-"  1 0 0 0  .3608185 .06460672  .071700625 5340.083 .51063645 .00019227275
  9777 2016 2033 "BBB"  1 1 0 1 .27188894 .10135072   .06625334  15639.7  .4622406 .00006256217
  9777 2013 2033 "BBB+" 1 0 0 1  .3770234 .12599924   .09477624   9072.1  .6212051  .0001107199
  9777 2015 2033 "BBB"  1 1 0 1 .25738332 .10324831   .08637887  15984.1  .4626775 .00005923258
  9777 2014 2033 "BBB+" 1 0 0 1  .4129033 .12912115   .08081921  16882.6  .6274953 .00011022806
  9777 2011 2033 "BBB+" 1 0 0 1  .5050382  .1532099   .10824535 9115.226  .8183287 .00014809283
  9777 2012 2033 "BBB+" 1 0 0 1  .4057852 .12401228   .09388687   9031.8  .6470163 .00010970655
  5071 2007 2040 "BBB+" 0 0 0 1    .46685 .18964474   .09513308  19041.6  .7507754  .0000549934
  6375 2012 2040 "BBB+" 1 0 0 1  .7143937  .4295437   .14771868    15184  1.192925 .00008402655
  5071 2015 2040 "BBB+" 1 0 0 1  .4490155  .1864554   .11972956  21712.3   .754085 .00004552801
  6375 2009 2040 "BBB+" 0 0 0 1  .6134661  .4222547    .1501005    11200 1.1488215 .00009135757
  5071 2008 2040 "BBB+" 0 0 0 1  .4718196 .20484097   .09601084  17874.8  .7715371  .0000525166
  5071 2006 2040 "BBB+" 0 0 0 1 .42033285 .17158236   .09694073    18184  .6833636 .00005492393
  5071 2013 2040 "BBB+" 1 0 0 1 .48308325 .20071498   .11214582  23145.7  .7904316 .00004413452
  5071 2005 2040 "BBB+" 0 0 0 1  .3621167  .1857633   .09802945    18207  .6443042  .0000553526
  5071 2014 2040 "BBB+" 1 0 0 1  .4751768 .18835896   .10986058  21964.5  .7617095 .00004320457
  6375 2005 2040 "BBB+" 0 0 0 1  .4787403  .3571693    .1059553  10574.5  .9431717 .00009267497
  6375 2011 2040 "BBB+" 1 0 0 1  .6281759  .4032244   .13463324    11901 1.1140373 .00008440956
  5071 2004 2040 "BBB+" 0 0 0 1  .3455659 .16603425   .09274718    18066   .609497 .00005420642
  5071 2011 2040 "BBB+" 1 0 0 1  .5323409  .2425018   .12862459  21096.8  .8920132 .00005354896
  6375 2014 2040 "BBB+" 1 0 0 1  .5732842  .3335918   .11587179    15153  .9424195 .00006462453
  5071 2012 2040 "BBB+" 1 0 0 1  .5124901 .22031303   .13869402    22658  .8425022 .00004740055
  6375 2015 2040 "BBB"  1 1 0 1  .5225368  .3028443   .11159506    15265  .8890648 .00006599353
  6375 2007 2040 "BBB+" 0 0 0 1  .5882117  .4171178   .14028373    11397 1.0991226 .00009333582
end

These are the results I get from the asreg command (I'm sorry I don't know how to show this with dataex)

. list year _b_cons _b_scassets _b_scsales _b_scdsales in 1/25

+----------------------------------------------------------+
| year _b_cons _b_scass~s _b_scsales _b_scdsa~s |
|----------------------------------------------------------|
1. | 2007 . . . . |
2. | 2013 -.04137871 -1454.5413 .26266831 -.35338505 |
3. | 2012 -.38693713 3034.2662 .21646971 -.27079479 |
4. | 2010 -.85324587 -8938.4823 1.6439263 -.12898214 |
5. | 2006 . . . . |
|----------------------------------------------------------|
6. | 2011 -.16358315 -12266.271 1.2316633 -.93329911 |
7. | 2015 -.02253046 -724.27971 .16337456 -.08283015 |
8. | 2008 . . . . |
9. | 2009 . . . . |
10. | 2016 .01235643 950.81255 .01738386 .02459045 |
|----------------------------------------------------------|
11. | 2014 .00971925 449.31965 .05272683 -.0136679 |
12. | 2012 .08884997 113.33022 -.0015957 .0451358 |
13. | 2014 .24156329 -115.83738 -.04908656 .09766839 |
14. | 2002 . . . . |
15. | 2014 .24156329 -115.83738 -.04908656 .09766839 |
|----------------------------------------------------------|
16. | 2013 -.05566587 438.12642 .04170158 -.0068965 |
17. | 2009 2.3117199 2416.5953 -1.5396779 .76984911 |
18. | 2004 . . . . |
19. | 2016 .1414304 201.14575 -.01674374 -.04160379 |
20. | 2010 -.69739426 -1098.4617 .6166464 -.54146248 |
|----------------------------------------------------------|
21. | 2005 . . . . |
22. | 2011 .25514846 -104.39973 -.06177096 .11034773 |
23. | 2015 .16020267 84.320294 -.01398477 -.11785821 |
24. | 2006 -.04683009 -52.635429 .0792364 .21267886 |
25. | 2016 .1414304 201.14575 -.01674374 -.04160379 |
+----------------------------------------------------------+


Thanks a lot.

[Nick Cox]

The usual story here is that you don’t have enough data points to calculate the regression.

Note that asreg (from SSC, as you are asked to explain: FAQ Advice #12) reports the number of observations. With 3 predictors I wouldn't feel comfortable with fewer than about 30, but asreg certainly needs enough data points to estimate 4 parameters.

[Sandra Arendonk]

The usual story here is that you don’t have enough data points to calculate the regression.

Note that asreg (from SSC, as you are asked to explain: FAQ Advice #12) reports the number of observations. With 3 predictors I wouldn't feel comfortable with fewer than about 30, but asreg certainly needs enough data points to estimate 4 parameters.

Thanks and sorry I thought it wasn't necessary to mention the SSC part. Will do next time.

Could it be due to something else? Because when I leave out the option robust window(year 5) it doesn't produce any missing values

[Nick Cox]

All we can see are your example data. In that there seems a clear pattern: regression results are missing for early years in the panel. I haven't used asreg ever but I find it difficult to imagine that whatever it means by robust can be done with fewer data points.