Hi everyone,

I am totally new here and very new to Stata, nice to meet you all. This maybe a very simple question, I am sorry if this makes you feel that you are wasting your time. Your help would be very appreciated. I have a panel data with 320 financial products and 20 quarters of data. There are two sets of pricing predictions and the real price trend for each product. The goal of the test is to see which pricing function predicted the real price better in sample. As far as I know and tried, DM test can only run on time series data, so I tried to run the test separately for each product as a time series test, using loop and statsby statement. The code is like the following, Stata says there is repeated time values in sample. But I double checked that there is no duplicated time for each id.

forvalues i = 1(1)320 {
if id == `i' {
tsset quarter
dmariano ln_price ln_VC ln_VT
}
}

Can someone show me to the right direction, Thanks.


Boheng