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  • Code on Idiosyncratic Skewness

    Dear STATA Fraternity

    I am not good in writing codes. Somehow i tried to write a code for calculating idiosyncratic skewness. But it doesn't work probably due to some bug. I am attaching both the code as well as sample data csv file. Hope some expert will help me out. i am tagging to some experts who have already provided assistance on this.
    Attached Files

  • #2
    "it doesn't work" does not help us. What went wrong, precisely? Such an error report could mean anything from Stata stopping with an error message to results that you find puzzling or not as desired.

    Independently of that, estimating skewness with very small sample sizes is a fraught business. See e.g. https://www.stata-journal.com/articl...article=st0204

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    • #3
      The problem is rangerun command gets hanged for the large data file. It works fine on a file with few stocks. How should I resolve it.

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      • #4
        Difficult to be constructive and concrete there, as the answers of using a faster computer and writing faster code are unlikely to seem helpful. Sorry.

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        • #5
          Thanks Nick. The code works though taking more time for large files.

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          • #6
            In case someone is interested, our code is much faster but it is a paid resource. See details here https://fintechprofessor.com/portfol...diction-model/
            Regards
            --------------------------------------------------
            Attaullah Shah, PhD.
            Professor of Finance, Institute of Management Sciences Peshawar, Pakistan
            FinTechProfessor.com
            https://asdocx.com
            Check out my asdoc program, which sends outputs to MS Word.
            For more flexibility, consider using asdocx which can send Stata outputs to MS Word, Excel, LaTeX, or HTML.

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