asrol function error

[Robin Dijl]

Hi everyone,

I am currently trying to calculate cumulative stock returns using the asrol function. I want to generate a variable called 'Momentum' that captures the cumulative returns from t-12 until t-2. I used the following code;

asrol RET, stat(product) add(1) gen(Momentum) window(dateYM -12 -2) minimum(13) by(PERMNO)

However, STATA returns the following error;

missing_Min_noFocal(): 3001 expected 8 arguments but received 9
asrolfw(): - function returned error
<istmt>: - function returned error

When I try calculating the cumulative returns from t-12 until t 0 by using this line of code:

asrol RET, stat(product) add(1) gen(Momentum) window(dateYM -12) minimum(12) by(PERMNO)

STATA does not return an error. Can anyone help me with this? I can't figure it out as window() should be able to handle three arguments.

Thank you in advance,

Robin Dijl

[Nick Cox]

asrol is a command (not function) from SSC.

As I understand it your first window is of length 11 from -12 to -2 but you are insisting that each contains 13 values. That is not going to happen.

[Robin Dijl]

Apologies,

Changed it to

asrol RET, stat(product) add(1) gen(Momentum) window(dateYM -12 -2) minimum(11) by(PERMNO)

but it still returns the following error:

missing_Min_noFocal(): 3001 expected 8 arguments but received 9
asrolfw(): - function returned error
<istmt>: - function returned error

[Nick Cox]

That's I think from asrol's internal Mata code, which is compiled, so I think you need Attaullah Shah to comment.

[Attaullah Shah]

The error message suggests that the update may have been unsuccessful. Please try updating again

ssc install asrol, replace