Hi all,
I encountered a problem when trying to estimate a rolling window regression of 1 month on a dataset of daily observations when using the "Asreg" command. My problem is that when I look at the results generated with the following command
, I observe that the results are missing for some months. Please note that I put
because I want to use observations in the previous month to estimate rolling window regressions.
Below is an example of my dataset and the results generated:
----------------------- copy starting from the next line -----------------------
------------------ copy up to and including the previous line ------------------
I did not find solutions to my problem in other posts. I would highly appreciate if anyone could help me out.
Many thanks in advance.
I encountered a problem when trying to estimate a rolling window regression of 1 month on a dataset of daily observations when using the "Asreg" command. My problem is that when I look at the results generated with the following command
Code:
by cusip:asreg retx mktrf dvix, window(t_month -2 -1)
Code:
window(t_month -2 -1)
Below is an example of my dataset and the results generated:
----------------------- copy starting from the next line -----------------------
Code:
* Example generated by -dataex-. For more info, type help dataex clear input double date str8 cusip double(dlret ret) float(year_c mcap) double(mktrf smb hml rf) float(vix dvix t_month retx _Nobs) double(_R2 _adjR2 _b_mktrf _b_dvix _b_cons) 11140 "00020910" . 378.78789007663727 1990 310681760 .3 -.41 -.13 .032 16.26 .7600002 366 378.7559 . . . . . . 11141 "00020910" . -437.95619159936905 1990 297075264 .13 -.16 -.35 .032 16.11 -.1499996 366 -437.9882 . . . . . . 11143 "00020910" . -152.67175622284412 1990 292539744 -1.04 .49 .01 .032 17.25 . 366 -152.70375 . . . . . . 11144 "00020910" . -38.75968977808952 1990 291405888 .61 -.41 -.26 .032 16.41 -.8400002 366 -38.79169 . . . . . . 11147 "00020910" . -38.91050582751632 1990 290272000 .22 -.35 -.16 .032 16.66 .25 366 -38.9425 . . . . . . 11148 "00020910" . 117.1875 1990 293673632 -.67 .45 -.26 .032 16.92 .26000023 366 117.1555 . . . . . . 11149 "00020910" . 270.2702768146992 1990 301610752 1.04 -.41 -.51 .032 16.68 -.23999977 366 270.23828 . . . . . . 11150 "00020910" . -150.37594363093376 1990 297075264 1.02 -.41 -.51 .032 17.06 .3799992 366 -150.40794 . . . . . . 11151 "00020910" . 0 1990 297075264 .42 -.12 -.1 .032 17.09 .030000687 366 -.032 . . . . . . 11154 "00020910" . 152.67175622284412 1990 301610752 .37 -.3 -.44 .032 16.75 -.34000015 366 152.63976 . . . . . . 11155 "00020910" . 187.96991556882858 1990 307280128 -.45 -.28 .52 .032 16.66 -.09000015 366 187.9379 . . . . . . 11156 "00020910" . -258.30257683992386 1990 299343008 -.92 .28 .42 .032 18.9 2.2399998 366 -258.33456 . . . . . . 11157 "00020910" . 0 1990 299343008 .12 -.64 .04 .032 18.56 -.34000015 366 -.032 . . . . . . 11158 "00020910" . -75.75757801532745 1990 297075264 -.87 .63 -.01 .032 15.63 -2.929999 366 -75.78958 . . . . . . 11161 "00020910" . -381.67938590049744 1990 285736512 -1.89 -.49 .72 .032 23.68 8.05 366 -381.7114 . . . . . . 11162 "00020910" . 238.0952425301075 1990 292539744 0 .05 .12 .032 21.79 -1.8899994 366 238.06325 . . . . . . 11163 "00020910" . -77.51937955617905 1990 290272000 .35 .05 -.16 .032 20.19 -1.6000004 366 -77.55138 . . . . . . 11164 "00020910" . 234.375 1990 297075264 -.25 .37 -.02 .032 20.26 .069999695 366 234.343 . . . . . . 11165 "00020910" . 0 1990 297075264 -.68 -.01 .48 .032 21.12 .8600006 366 -.032 . . . . . . 11168 "00020910" . -305.34351244568825 1990 288004256 .26 -1.19 .32 .032 21.16 .03999901 366 -305.3755 . . . . . . 11169 "00020910" . -157.48031437397003 1990 283468736 .07 -.37 .21 .032 21.11 -.04999924 366 -157.5123 . . . . . . 11170 "00020910" . -160.0000075995922 1990 278933248 -.2 -.3 -.06 .028 21.64 .5299988 367 -160.028 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11171 "00020910" . -243.90242993831635 1990 272129984 -1.22 -.08 .48 .028 20.43 -1.209999 367 -243.93044 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11172 "00020910" . 0 1990 272129984 -1.84 -.71 .63 .028 28.74 8.309999 367 -.028 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11175 "00020910" . -333.3333507180214 1990 263059008 -3.32 -.16 1.36 .028 35.91 7.17 367 -333.3614 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11176 "00020910" . 0 1990 263059008 .17 -.04 -.83 .028 32.75 -3.16 367 -.028 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11177 "00020910" . 0 1990 263059008 1.11 .02 -.74 .028 28.27 -4.4799995 367 -.028 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11178 "00020910" . 86.20689623057842 1990 265326752 .63 .32 -.97 .028 24.39 -3.880001 367 86.17889 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11179 "00020910" . -85.47008968889713 1990 263059008 -1.19 .21 .56 .028 25.75 1.3600006 367 -85.49809 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11182 "00020910" . -86.20689623057842 1990 260791248 .71 -1.03 -.3 .028 25.74 -.01000023 367 -86.23489 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11183 "00020910" . 173.91303554177284 1990 265326752 .21 .19 -.23 .028 24.18 -1.5599995 367 173.88504 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11184 "00020910" . 256.41025975346565 1990 272129984 .25 -.18 -.37 .028 23.31 -.8700008 367 256.38226 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11185 "00020910" . -250.0000037252903 1990 265326752 -2.18 .46 .69 .028 27.16 3.8500004 367 -250.028 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11186 "00020910" . -427.3504391312599 1990 253988000 -1.55 -.35 .79 .028 27.53 .3700008 367 -427.37845 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11189 "00020910" . 89.28571827709675 1990 256255744 -.11 -.94 .56 .028 26.46 -1.0700016 367 89.25772 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11190 "00020910" . -353.9822995662689 1990 247184752 -2 -.4 .75 .028 28.9 2.4400005 367 -354.0103 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11191 "00020910" . -183.4862306714058 1990 242649248 -1.58 .27 .91 .028 30.55 1.6499996 367 -183.51424 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11192 "00020910" . -280.37382289767265 1990 235846000 -3.24 -1.12 1.52 .028 36.47 5.920002 367 -280.40182 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11193 "00020910" . 0 1990 235846000 1.46 -.35 -1.64 .028 33.93 -2.540001 367 -.028 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11196 "00020910" . 576.9230797886848 1990 249452496 3.2 .12 -1.81 .028 29.63 -4.300001 367 576.8951 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11197 "00020910" . 454.5454680919647 1990 260791248 .07 .47 -.08 .028 29.12 -.5099983 367 454.5175 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11198 "00020910" . 0 1990 260791248 .74 -.49 .26 .028 27.38 -1.7400017 367 -.028 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11199 "00020910" . 86.95651777088642 1990 263059008 -1.39 .93 .35 .028 29.89 2.51 367 86.92852 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11200 "00020910" . -129.3103490024805 1990 259657376 .95 -.78 -.23 .028 29.9 .01000023 367 -129.33835 20 .15377315074851539 .05421705083657602 36.35988102652421 -33.25179224687918 -8.245841690919528 11204 "00020910" . -43.668122962117195 1990 258523504 .09 -.28 -.28 .031 29.58 . 368 -43.69912 . . . . . . 11205 "00020910" . 263.1578966975212 1990 265326752 .35 .18 -.14 .031 28.52 -1.0599995 368 263.1269 . . . . . . 11206 "00020910" . -256.41025975346565 1990 258523504 -1.06 .47 .61 .031 30.19 1.67 368 -256.44125 . . . . . . 11207 "00020910" . 263.1578966975212 1990 265326752 .79 -.52 -.19 .031 28.73 -1.460001 368 263.1269 . . . . . . 11210 "00020910" . -170.94017937779427 1990 260791248 -.38 .55 0 .031 29.34 .6100006 368 -170.97118 . . . . . . 11211 "00020910" . -347.8260710835457 1990 251720256 -.19 -.16 .04 .031 28.38 -.960001 368 -347.8571 . . . . . . 11212 "00020910" . -180.18018454313278 1990 247184752 .29 -.38 -.06 .031 28.12 -.25999832 368 -180.2112 . . . . . . 11213 "00020910" . -550.4587292671204 1990 233578256 -1.11 .32 .2 .031 29.33 1.209999 368 -550.48975 . . . . . . 11214 "00020910" . -1067.9611563682556 1990 208632992 -.61 -.1 -.18 .031 30.56 1.2299995 368 -1067.9922 . . . . . . 11217 "00020910" . 652.1739065647125 1990 222239504 .18 -.56 -.13 .031 29.55 -1.0100002 368 652.1429 . . . . . . 11218 "00020910" . 204.08162847161293 1990 226775008 .07 -.65 -.15 .031 28.82 -.7299995 368 204.05063 . . . . . . 11219 "00020910" . 0 1990 226775008 -.57 .49 .47 .031 27.88 -.9400005 368 -.031 . . . . . . 11220 "00020910" . -299.99999329447746 1990 219971744 -1.61 .17 .68 .031 28.66 .7800007 368 -300.031 . . . . . . 11221 "00020910" . -51.546390168368816 1990 218837872 -.2 -.58 .12 .031 30.04 1.380001 368 -51.57739 . . . . . . 11224 "00020910" . -673.5751032829285 1990 204097504 -2.19 -.31 .57 .031 30.56 .51999855 368 -673.6061 . . . . . . 11225 "00020910" . 111.11111380159855 1990 206365248 1.03 -.81 -.76 .031 28.81 -1.75 368 111.08012 . . . . . . 11226 "00020910" . -549.4505539536476 1990 195026496 -1.07 -.34 .22 .031 28.19 -.6199989 368 -549.48157 . . . . . . 11227 "00020910" . -116.27906933426857 1990 192758752 -1.51 -.45 .72 .031 28.67 .4799995 368 -116.31007 . . . . . . 11228 "00020910" . 117.64706112444401 1990 195607008 1.5 -.99 -1.12 .031 29.11 .4400005 368 117.61606 . . . . . . 11231 "00020910" . 930.2325546741486 1990 213803008 2.74 -1.52 -1.23 .03 28.06 -1.0500011 369 930.2026 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11232 "00020910" . -53.191487677395344 1990 212665744 .2 .48 .17 .03 27.28 -.7799988 369 -53.22149 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11233 "00020910" . 160.42780131101608 1990 216077504 -1.16 .37 .31 .03 27.9 .6199989 369 160.3978 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11234 "00020910" . -157.89473429322243 1990 212665744 .19 -.71 .39 .03 27.51 -.3899994 369 -157.92473 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11235 "00020910" . -53.475936874747276 1990 211528496 -.46 -.29 .35 .03 27.85 .34000015 369 -53.50594 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11238 "00020910" . 645.1612710952759 1990 225175504 .53 -.54 0 .03 28.04 .19000053 369 645.1313 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11239 "00020910" . -303.0303120613098 1990 218352000 -2.54 .57 .75 .03 30.71 2.669998 369 -303.0603 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11240 "00020910" . 0 1990 218352000 -1.6 .15 .5 .03 31.19 .48000145 369 -.03 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11241 "00020910" . -208.3333395421505 1990 213803008 -1.76 -.47 .79 .03 33.98 2.789999 369 -208.36334 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11242 "00020910" . 638.2978707551956 1990 227450000 1.28 -1.05 -.47 .03 31.94 -2.039999 369 638.2679 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11245 "00020910" . -99.99999776482582 1990 225175504 .91 -.88 -.16 .03 31.64 -.3000011 369 -100.03 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11246 "00020910" . 303.0303120613098 1990 231999008 -1.4 .49 .46 .03 31.45 -.18999863 369 303.0003 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11247 "00020910" . 196.07843831181526 1990 236548000 -.02 -.16 -.44 .03 31.37 -.07999992 369 196.04843 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11248 "00020910" . 96.15384973585606 1990 238822496 2.2 -.74 -1.38 .03 29.6 -1.7700005 369 96.12385 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11249 "00020910" . 142.85714365541935 1990 242234256 1.77 -1.14 -.48 .03 27.86 -1.7399998 369 142.82715 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11252 "00020910" . 46.94835748523474 1990 243371504 .78 -.98 -.32 .03 27.27 -.59000015 369 46.91836 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11253 "00020910" . 0 1990 243371504 -.52 .91 -.16 .03 27.57 .2999992 369 -.03 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11254 "00020910" . -373.83176386356354 1990 234273504 -.03 -.08 .01 .03 28.28 .710001 369 -373.8618 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11255 "00020910" . -97.08737954497337 1990 231999008 -.66 .55 .12 .03 29.04 .7600002 369 -97.11738 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11256 "00020910" . -490.1960864663124 1990 220626496 -1.68 .54 .08 .03 30.75 1.709999 369 -490.2261 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11259 "00020910" . -103.09278033673763 1990 218352000 -.96 -.03 .38 .03 31.54 .7900009 369 -103.12278 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11260 "00020910" . 0 1990 218352000 .46 -1.18 -.14 .03 30.52 -1.0200005 369 -.03 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11261 "00020910" . 0 1990 218352000 .02 -.1 .4 .03 30.04 -.4799995 369 -.03 18 .4639759534664428 .3925060805953019 184.34309422332677 -127.42437158165467 -86.34597623747338 11262 "00020910" . 104.16666977107525 1990 220626496 .79 -.74 .12 .027 30.25 .2099991 370 104.13967 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11263 "00020910" . 515.4639109969139 1990 231999008 1.55 -.56 -.29 .027 30.03 -.2199993 370 515.4369 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11266 "00020910" . 294.11764815449715 1990 238822496 .96 -.13 -.52 .027 29.85 -.1800003 370 294.09064 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11267 "00020910" . 285.7142873108387 1990 245646000 -.71 .76 .23 .027 29.11 -.7399998 370 285.6873 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11268 "00020910" . 0 1990 245646000 -1.59 .85 .36 .027 30.87 1.7600002 370 -.027 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11269 "00020910" . 0 1990 245646000 .44 -.66 -.19 .027 30.79 -.07999992 370 -.027 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11270 "00020910" . 277.7777798473835 1990 252469504 1.81 -.96 -.21 .027 26.96 -3.830002 370 277.7508 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11273 "00020910" . 135.1351384073496 1990 255881248 1.92 -.36 -.63 .027 25.6 -1.3599987 370 135.10814 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11274 "00020910" . -222.2222276031971 1990 250195008 -.34 .68 -.07 .027 24.58 -1.0200005 370 -222.2492 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11275 "00020910" . 454.5454680919647 1990 261567504 .82 .1 -.18 .027 22.89 -1.6900005 370 454.5185 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11276 "00020910" . -260.869562625885 1990 254744000 -.91 .68 .01 .027 22.57 -.3199997 370 -260.89658 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11277 "00020910" . 0 1990 254744000 -.05 -.07 .36 .027 21.34 -1.2299995 370 -.027 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11280 "00020910" . -89.28571827709675 1990 252469504 .58 -.3 -.4 .027 20.95 -.3899994 370 -89.31272 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 11281 "00020910" . -360.36036908626556 1990 243371504 -1.09 .53 .02 .027 20.09 -.8600006 370 -360.3874 23 .3661248676302495 .3027373543932744 95.04112146801447 -64.23676763872191 62.63584259966441 end format %td date format %tm t_month
I did not find solutions to my problem in other posts. I would highly appreciate if anyone could help me out.
Many thanks in advance.
Comment