Home › Forums › ASREG : Rolling window and Fama-MacBeth Regressions › CAPM with ASREG in Stata using Hourly Data
Tagged: asreg, capm, hourly data, Stata
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Messir Maz
GuestAugust 23, 2020 at 6:38 pmPost count: 118I came across your extremely helpful ASREG stata module . I would like to use it to estimate CAPM beta using the hourly data in 17,520 hour windows (2 years) for 155 groups. However, once implemented, I noticed that the number of observations reaches 17,500 (as captured by the variable _Nobs) and then it does no grow beyond that number even though in the dataset there is more than 17500 observations per group. Do you think this is the programming error? Why, according to you, I have come across this type of limitation?
Thank you very much in advance for your invaluable input.
Messir
Associate Professor of FinanceThanks for your feedback. Can you please share some data (real or fake) so that I can reproduce the error. There is no internal limitation on maximum number of observations in asreg.
The following statistics show that there are gaps in your range variable – hours. Due to these gaps, you never achieve the maximum number of observations in your regression. The max goes to 17508. And in some cases, the gap is 191 periods.
bys group: asreg ret btcret, wind (hours 17520) Variable | Obs Mean Std. Dev. Min Max -------------+--------------------------------------------------------- _Nobs | 55,984 14057.27 4615.921 3 17508 _R2 | 55,984 .286359 .16784 4.19e-06 .6340864 _adjR2 | 55,984 .2861602 .1681217 -.441666 .6340654 _b_btcret | 55,984 .8394192 .3598068 -1.821103 69.31989 _b_cons | 55,984 .0003909 .0014452 -.2672959 .0135633 . bys group (hours ) : gen dif = hours - hours[_n-1] (1 missing value generated) . sum dif Variable | Obs Mean Std. Dev. Min Max -------------+--------------------------------------------------------- dif | 56,001 1.101266 1.175469 1 191
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