Dear all,
After trying multiple ways to work around an error issued by Stata after running the ascol command, I decided to turn to you, the community, in hope of a work around. To try and explain the issue as clear as possible, the following context:
For the past month I have been working on my thesis regarding momentum strategies within Stata with a dataset containing daily returns data. As my holding periods and lookback periods are monthly, I decided to use the ascol command to convert daily returns data to monthly returns data. This has worked perfectly on consecutive days, but Stata suddenly issued an error - r(3301) - for the ascol command last week. My dataset has not changed between the days that the command worked and the day it did not anymore. Moreover, by cross-referencing my do.files of days previous to the error and the day of the error, it shows that my code has stayed exactly the same. Lastly, Stata also issues the r(3301) error when the example syntax given under help ascol by professor Shah is ran . See below;
Hence the following approach: I ran count to count the values in the Returns variable that are either larger/smaller/equal than 0 or missing. The addition of these counts is equal to the total amount of observations, namely 807,798. There are no non-numeric values within this variable. This was done in light of the following forum post: https://www.statalist.org/forums/for...-daily-returns
The return values use dots as decimal points. I have xtset my data with the time variable being Date and the panel variable being instrument. The delta is equal to 1 day. The Returns- and instrument data is in long form.
The following syntax is used, and gives:
Below I provided an example of the dataset that I'm using. Interestingly, the ascol command does generate the month_id variable, which denotes a month-year value.
Any help/tip/insight is dearly appreciated!
After trying multiple ways to work around an error issued by Stata after running the ascol command, I decided to turn to you, the community, in hope of a work around. To try and explain the issue as clear as possible, the following context:
For the past month I have been working on my thesis regarding momentum strategies within Stata with a dataset containing daily returns data. As my holding periods and lookback periods are monthly, I decided to use the ascol command to convert daily returns data to monthly returns data. This has worked perfectly on consecutive days, but Stata suddenly issued an error - r(3301) - for the ascol command last week. My dataset has not changed between the days that the command worked and the day it did not anymore. Moreover, by cross-referencing my do.files of days previous to the error and the day of the error, it shows that my code has stayed exactly the same. Lastly, Stata also issues the r(3301) error when the example syntax given under help ascol by professor Shah is ran . See below;
Code:
clear
set obs 1000
number of observations (_N) was 0, now 1,000
gen date=date("1/1/2012" , "DMY")+_n
format %td date
tsset date
time variable: date, 02jan2012 to 27sep2014
delta: 1 day
gen pr=10
replace pr=pr[_n-1]+uniform() if _n>1
(999 real changes made)
gen simpleRi=(pr/l.pr)-1
(1 missing value generated)
gen logRi = ln(pr/l.pr)
(1 missing value generated)
save stocks,replace
(note: file stocks.dta not found)
file stocks.dta saved
use stocks, clear
ascol simpleRi, toweek returns(simple)
PRODUCT(): 3301 subscript invalid
asrolnw(): - function returned error
<istmt>: - function returned error
r(3301);
The return values use dots as decimal points. I have xtset my data with the time variable being Date and the panel variable being instrument. The delta is equal to 1 day. The Returns- and instrument data is in long form.
The following syntax is used, and gives:
Code:
order Date instrument Returns
sort Instrument Date
ssc install ascol, replace
xtset instrument Date
panel variable: instrument (strongly balanced)
time variable: Date, 1/1/1997 to 12/31/2020, but with gaps
delta: 1 day
ascol Returns, tomonth returns(simple)
PRODUCT(): 3301 subscript invalid
asrolnw(): - function returned error
<istmt>: - function returned error
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input int Date long instrument double Returns float month_id 13515 1 0 444 13516 1 -.008319581858813763 444 13517 1 .00457925396040082 444 13520 1 .0005707734380848706 444 13521 1 -.00031615333864465356 444 13522 1 -.003439552616328001 444 13523 1 .0011100437259301543 444 13524 1 -.006406460888683796 444 13527 1 .00453687971457839 444 13528 1 .007646918762475252 444 13529 1 .0003425455652177334 444 13530 1 .0011692713014781475 444 13531 1 .0011079214746132493 444 13534 1 -.0033540083095431328 444 13535 1 .0016926343087106943 444 13536 1 .0021689054556190968 444 13537 1 -.004844727460294962 444 13538 1 -.006304330192506313 444 13541 1 -.006935999728739262 444 13542 1 .0008831917657516897 444 13543 1 .0034703402779996395 444 13544 1 .004929186310619116 444 13545 1 .007448762655258179 444 13548 1 .0015082336030900478 445 13549 1 .002111880574375391 445 13550 1 -.005057091824710369 445 13551 1 -.0004970584413968027 445 13552 1 .004229959566146135 445 13555 1 .002606478286907077 445 13556 1 .00035289672086946666 445 13557 1 .0044128065928816795 445 13558 1 .006446360144764185 445 13559 1 .0014054387575015426 445 13562 1 -.0008126712637022138 445 13563 1 .0017570068594068289 445 13564 1 -.001928934594616294 445 13565 1 -.0027721247170120478 445 13566 1 .0006425472674891353 445 13569 1 .0035680062137544155 445 13570 1 .002302951645106077 445 13571 1 -.009938579052686691 445 13572 1 -.0033261356875300407 445 13573 1 -.004065744578838348 445 13576 1 -.000890459748916328 446 13577 1 -.0012739701196551323 446 13578 1 .003478868631646037 446 13579 1 -.0020837606862187386 446 13580 1 .004422342870384455 446 13583 1 .005043782759457827 446 13584 1 .000018912960513262078 446 13585 1 -.006473993416875601 446 13586 1 -.011649202555418015 446 13587 1 .002654843498021364 446 13590 1 -.002201056107878685 446 13591 1 -.001345948432572186 446 13592 1 -.0015786869917064905 446 13593 1 -.005527653731405735 446 13594 1 .0037200013175606728 446 13597 1 .0009054978145286441 446 13598 1 .001265001017600298 446 13599 1 .001498362049460411 446 13600 1 -.008201058022677898 446 13601 1 -.00046907292562536895 446 13604 1 -.006773156579583883 446 13605 1 -.0036032437346875668 447 13606 1 -.002837984822690487 447 13607 1 -.001309104380197823 447 13608 1 -.0006392689538188279 447 13611 1 .001706025330349803 447 13612 1 .0012044014874845743 447 13613 1 -.0028257789090275764 447 13614 1 -.0023580079432576895 447 13615 1 -.010415947064757347 447 13618 1 -.00040106510277837515 447 13619 1 .010240552946925163 447 13620 1 .0048467605374753475 447 13621 1 .00260004960000515 447 13622 1 .0036989341024309397 447 13625 1 -.0001993210316868499 447 13626 1 .005547693464905024 447 13627 1 .0005947300232946873 447 13628 1 -.0020678217988461256 447 13629 1 -.005629931576550007 447 13632 1 .0029355769511312246 447 13633 1 .014730594120919704 447 13634 1 .006960650905966759 447 13635 1 .002009183634072542 448 13636 1 .006769500207155943 448 13639 1 .0073029897175729275 448 13640 1 .0061397491954267025 448 13641 1 -.006584391929209232 448 13642 1 .003818472847342491 448 13643 1 .0054987212643027306 448 13646 1 .009617207571864128 448 13647 1 -.0021256529726088047 448 13648 1 .003446330549195409 448 13649 1 .002576211467385292 448 13650 1 -.002311837626621127 448 13653 1 -.0007871178677305579 448 13654 1 .0040381602011621 448 end format %tdnn/dd/CCYY Date format %tm month_id label values instrument Indices label def Indices 1 "60_40", modify
