Asreg reporting missing values in the first 6 months of each year

[Manuel Villaverde]

Dear Stata community,

I am currently trying to carry out a Fama-French 5 factor model with a rolling window regression using the state command "asreg" (from ssc, in Stata 14). The code I am introducing for such regression is the following:

by ISIN_code: asreg MR_RC Mkt_RF SMB HML RMW CMA PR1YR, window(year_month 12) min(4)

It seems to work well, but only for the 6 last months of each of the years I have in my panel data set. Here is an example of the output:

* Example generated by -dataex-. To install: ssc install dataex
clear
input str43 Name long ISIN_code double(year_month MR Mkt_RF SMB HML RMW CMA RF PR1YR) float _Nobs double _b_cons
"Santalucía Renta Fija Dinámica A FI" 558 202008   .81686   4.95  2.65 -1.74   .99 -1.67 .01    .04  8   .43923103820113685
"Santalucía Renta Fija Dinámica A FI" 558 202009   .15029  -2.97   .53 -3.74  2.32 -1.91 .01   4.86  9   .17341623206042556
"Santalucía Renta Fija Dinámica A FI" 558 202010    .1475  -4.72  1.14   -.2  -.62  -.11 .01    .67 10   .11102861950581988
"Santalucía Renta Fija Dinámica A FI" 558 202011  1.97893  16.62  1.39 10.76 -3.82  1.69 .01 -18.39 11 -.002482758558102316
"Santalucía Renta Fija Dinámica A FI" 558 202012   .26522   5.67  4.48 -1.76   .77    -2 .01   2.13 12 -.022294594852472982
"Santalucía Renta Fija Dinámica A FI" 558 202101  -.05443  -1.25  1.73  -.29  -.57   -.2   0   2.39  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202102  -.03288    2.6  1.42  5.73 -1.89   .84   0  -4.52  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202103   .68471   3.18 -1.57  3.46   .26   .55   0  -1.66  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202104   .17052   5.29  1.77 -3.19  1.54 -3.58   0   1.66  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202105  -.13928   4.52  -.75  2.06  1.17   .42   0    .78  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202106   .23542  -1.66 -1.65  -2.5  1.18  -.73   0   -.91  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202107   .21716   2.09   .35 -2.98  3.25 -2.88   0   2.57  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202108   .01113   1.45  1.71 -1.18   .23  -1.7   0    .06  8   .07214365716903731
"Santalucía Renta Fija Dinámica A FI" 558 202109  -.10501  -4.99  -.35   4.3 -2.33  2.26   0   -.59  9   .06503614798335589
"Santalucía Renta Fija Dinámica A FI" 558 202110  -.49376    4.2 -1.61  -.64  1.46  -.65   0   2.73 10   .04304589757055627
"Santalucía Renta Fija Dinámica A FI" 558 202111  -.07592  -4.29  -.99 -2.11  3.45 -1.74   0   -.43 11   .03465166050457252
"Santalucía Renta Fija Dinámica A FI" 558 202112   .10376   5.16 -1.04  1.86   .55  2.81 .01    .03 12   .14706568481122967
"Santalucía Renta Fija Dinámica A FI" 558 202201  -.57366  -5.39 -2.28 12.09  -5.4  5.22   0  -5.09  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202202 -1.66374  -3.77   .42   .57   .69  1.77   0   -.02  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202203  -.58888   -.33   .65    .4  -.23  -.14   0   4.17  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202204 -1.86808  -5.86  -.98  2.64   .48  4.07   0   2.04  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202205  -.71283   1.27 -1.18  5.23 -2.28  1.71 .03  -1.64  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202206 -3.21326 -10.32 -1.03 -2.46  1.72   .21 .06   3.96  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202207  1.61085   5.26   .17 -6.01  3.35 -3.93 .08  -2.86  .                    .
"Santalucía Renta Fija Dinámica A FI" 558 202208  -2.0632  -6.68   -.5  5.41 -3.21  2.17 .19   6.28  8   -.3968636627634794
"Santalucía Renta Fija Dinámica A FI" 558 202209 -2.79025  -9.84 -3.51  1.25   -.2  2.75 .19   4.04  9   .08098187542749047
"Santalucía Renta Fija Dinámica A FI" 558 202210   .38734   6.66  -.67  2.44  1.17   .13 .23  -1.31 10  -.14477859597838771
"Santalucía Renta Fija Dinámica A FI" 558 202211   1.9462  12.64 -1.81 -1.15  1.05  -1.2 .29  -5.29 11  -.19411015547096405
"Santalucía Renta Fija Dinámica A FI" 558 202212  -.95887  -1.09  1.53  2.58  -.85  1.04 .33   2.87 12  -.15855219338762605
end
label values ISIN_code ISIN_code
label def ISIN_code 558 "ES0108686033-1", modify

Could anyone explain why is this happening? Thanks in advance.

[Nick Cox]

I don't use asreg (SSC) but one issue is evident from your Stata example.

yearmonth is not fit for your purpose, or indeed for just about any Stata or statistical purpose. You can look at it and understand that 202012 is followed by 202101 but Stata only sees there a gap of 89. Calling it yearmonth doesn't impart any understanding except to people.

You need a monthly date variable that allows correct calculations. Here is one such:

gen mdate = ym(floor(yearmonth/100), mod(yearmonth, 100)) 
format mdate %tm

My guess is that anything else puzzling you will be a direct question about asreg.

[Manuel Villaverde]

Thank you very much Nick, incredible that I did not notice that earlier!! It is already properly working.

[Nihar Singh]

Hi Manuel,

How have you calculated the SMB and HML factors? Can you please share the command for the same?