EViews.com

I have the following series of market data: date, ticker, price, volume. The data is sorted by sym and date. There are two tickers in my sample: IBM and MSFT.
I would like to run the following regression for each ticker separately: equation ls. price c price(-1) volume volume(-1).
I planned to run a loop where each in iteration I restrict the sample:

for %ticker_now "IBM" "MSFT"
smpl if ticker=%ticker_now
equation ls. price c price(-1) volume volume(-1)
...
next

My problem is that when the regression runs for MSFT, the first observation of the explanatory variables price(-1) and volume(-1) has data for IBM, instead of being missing values.

Is there a quick solution for this erroneous data handling?

Of course, the above description is a simplification of the actual problem. For example, in my actual problem the number of lags varies from one loop to another and the number of tickers are in the thousands.

I very much appreciate any help.

Best,
Basile

Probably the easiest thing to do is set the page up as a panel, with date as the time ID and ticker as the cross-section ID. EViews will know not to allow lags to cross tickers then.

will follow your advice.
(1) will this work if I have a non-balanced panel (i.e., not all sym have data for all date)?
(2) can I push forward the start of the sample, some thing like: smpl (if ticker=%ticker_now)+1 ???

Thanks for all your help

1) Yes.
2) Don't understand the question.

you can do the following
smpl @first+1 @last

so, my question is whether I can do something similar, where I define my sample to be restricted to "smpl if ticker=%ticker_now" and then move the start of sample by one observation forward?

The suggestion does not do the trick. It only offsets the beginning of the entire data by 1.

Assume IBM are observations 1 to 10, MSFT 11 to 20. Your suggestion will first restrict the data to observations 2 to 20, and then apply the "if" restriction. That means, "smpl @first+1 @last if ticker=%ticker_now" will give observations (2 to 10) and (11 to 20) for IBM and MSFT, respectively. I was looking to get observations (2 to 10) and (12 to 20) for IBM and MSFT, respectively. So, in essence, i would to first apply the "if" restriction, and then apply the offset by 1. Is that possible?

Thanks

No, it doesn't do that. See for example:

This definitely works for panel data, but not for non-panel stacked data.
thx