Hello everyone,

I have a panel along the variables Dates and gvkey and am trying to calculate the volatility of the residuals of my regressions along daily values within the panel. I am currently stuck with the rangestat code as I get a return "no result for all obs: reg exret MktRF SMB HML"

I understood that the code below would go through each row for given Dates (for each gvkey value, so they is only one observation for given Dates) and create the regression. But maybe I misunderstood the instructions?

Any help would be most appreciated!

Thanks
Micha

Code:
rangestat (reg) exret MktRF SMB HML, by (gvkey) interval(Dates 0 0)


Dates    gvkey    exret    SMB    HML    MktRF
04jan2005    1045    -.1012971    -.58    .44    -1.3
05jan2005    1045    -.1039042    -1.11    0    -.51
06jan2005    1045    -.0411491    -.14    .13    .34
07jan2005    1045    .0034286    -.76    -.02    -.22
10jan2005    1045    -.0147796    .27    .04    .42
11jan2005    1045    -.0136883    -.35    .3    -.68
12jan2005    1045    -.0205858    -.04    -.16    .38
13jan2005    1045    -.0311749    .13    .38    -.77
14jan2005    1045    .0240284    .55    .07    .66
18jan2005    1045    .0115402    .16    -.17    .97
19jan2005    1045    -.0204013    -.13    .48    -.97
20jan2005    1045    -.0171325    -.12    -.05    -.77
21jan2005    1045    -.0471705    .29    .25    -.56
24jan2005    1045    -.0691511    -.8    .62    -.49
25jan2005    1045    .0443627    .2    -.37    .34
26jan2005    1045    -.0055729    .95    -.21    .62
27jan2005    1045    -.0092107    .17    .04    .08
04jan2005    1078    -.0180707    -.58    .44    -1.3
05jan2005    1078    -.0194719    -1.11    0    -.51
06jan2005    1078    .0145532    -.14    .13    .34
07jan2005    1078    .0091306    -.76    -.02    -.22
10jan2005    1078    .0016842    .27    .04    .42
11jan2005    1078    -.0263486    -.35    .3    -.68
12jan2005    1078    -.0110956    -.04    -.16    .38
13jan2005    1078    -.0271775    .13    .38    -.77
14jan2005    1078    -.0032205    .55    .07    .66
18jan2005    1078    -.0125405    .16    -.17    .97
19jan2005    1078    -.0077828    -.13    .48    -.97
20jan2005    1078    -.0145146    -.12    -.05    -.77
21jan2005    1078    -.0029727    .29    .25    -.56
24jan2005    1078    -.0090875    -.8    .62    -.49
25jan2005    1078    -.0084355    .2    -.37    .34
26jan2005    1078    -.0084357    .95    -.21    .62
27jan2005    1078    -.0173702    .17    .04    .08