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Stata usage and programming, Stata helpenThu, 24 Jul 2014 01:28:56 GMTvBulletin60http://www.talkstats.com/images/misc/rss.pngStatistics Help @ Talk Stats Forum - Stata
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How to convert a data stored as year (only) to 01/01/year?
http://www.talkstats.com/showthread.php/56903-How-to-convert-a-data-stored-as-year-(only)-to-01-01-year?goto=newpost
Wed, 23 Jul 2014 22:13:00 GMTHi, I am using STATA and in my dataset date of birth is as year (no md). I want to calculate the age. So I need the dob as mdy do that can format it...Hi, I am using STATA and in my dataset date of birth is as year (no md). I want to calculate the age. So I need the dob as mdy do that can format it afterwards.
Could some one help me how to do this please?
Many thanks :)
]]>Stataleilafghttp://www.talkstats.com/showthread.php/56903-How-to-convert-a-data-stored-as-year-(only)-to-01-01-yearControlling for autocorrelation in a regression
http://www.talkstats.com/showthread.php/56875-Controlling-for-autocorrelation-in-a-regression?goto=newpost
Tue, 22 Jul 2014 13:12:54 GMTHi all

I have a panel data; I ran the Hausman test and it showed a significant p-value, thus I conduct my regression by using 'xtreg' command + fixed effects, vce (robust).

As I understand 'robust' option is for heteroscedasticity. I checked my variables for multicollinearity and did not find any problems.
Also I tested for autocorrelation and the result indicates that I do have serial correlation in my data.

Now I would like to control for autocorrelation, but I am stuck on this issue. What is the right way to run regression and control for serial correlation in Stata? Does this issue drastically change the output?

Many thanks for any advice!
]]>StataManhttp://www.talkstats.com/showthread.php/56875-Controlling-for-autocorrelation-in-a-regressionVolatility of abnormal returns.
http://www.talkstats.com/showthread.php/56863-Volatility-of-abnormal-returns.?goto=newpost
Mon, 21 Jul 2014 16:04:11 GMTHi all,
When employing raw returns, one defines performance volatility as the standard deviation of these raw returns over some prior period (say...Hi all,

When employing raw returns, one defines performance volatility as the standard deviation of these raw returns over some prior period (say 12 months). This is clear.

In case I use Carhart model to calculate performance, how can I estimate performance volatility over the prior 12 months?

The following statement I found in a paper: "When employing risk-adjusted performance, we define performance volatility as the volatility of abnormal returns over the prior 12 months."

Should I get monthly alphas? It sounds clear, but the problem is that I do not know how to obtain alpha for each month in Stata! I have only annual alpha based on the last 12 months observations.

It would be straightforward with monthly alphas as then I can calculate standard deviation of alphas over the prior 12 months.

All in all I am confused with how to do it.

I will be very grateful if somebody explains me that.
]]>StataManhttp://www.talkstats.com/showthread.php/56863-Volatility-of-abnormal-returns.