Christophe, thanks a lot! It really seems as if rangestat only works with one argument.
Would you be so kind to post the complete code...
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Last edited by Christopher Koedding; 24 Dec 2016, 03:31.
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Christophe, thank you very much indeed!
When applying the code to my dataset, however, I get an error message. I did the following:
...
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Linear regression with Newey and West standard errors
Hey guys,
I would like to set up a linear regression in Mata. Most importantly, I want to use heteroskedasticityandautocorrelationconsistent...Last edited by Christopher Koedding; 23 Dec 2016, 06:31.
 5 posts

Thanks again, Robert! The mistake was in the input data, not in the code.
I'm wondering, however, whether I can tell rangestat to run regressions...
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Thank you very much indeed, Robert!
When tailoring the code to my dataset, however, I get somewhat odd results. My task is very similar to...
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Okay, perfect! Didn't know that. When using rangestat to calculate, say, rolling linear regressions, one has to tell Mata that it should execute a regression...
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Hey guys,
referring to Robert's advice to use rangestat for longer windows in #2: Is there a way to calculate the moving standard deviations...
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Edit rangestat command:
Code:... rename (mycorr1 mycorr2) (nobs rho_s_m) ...
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Sorry for the confusion. Of course the window length has to be specified in days, not months. What confused me here was that in financial markets a month...
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Sorry, should have stated this more clearly from the beginning. Indeed, I'm looking for mean correlations for each month of daily values.
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Thank you very much indeed, Clyde!
However, the problem is that when I xtset the data, Stata shows the error message:
"repeated...
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Collect rolling correlations using statsby
Dear all,
I have an unbalanced panel dataset of stock and market returns where permno is the panel variable and date is the time variable....
 8 posts

Hey guys,
I was wondering how to modify the abovementioned rangestat code to run a rolling regression on two independent variables, i.e....
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Calculate monthly betas from rolling window regressions
Dear Statalisters,
I have a panel dataset of stock and market returns where permno is the panel variable and date (or D, respectively) is...Last edited by Christopher Koedding; 14 Dec 2016, 04:39.
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