Hello

I have a dataset of daily stock return and cash dividends for all Danish listed firms. I am interested in seeing whether significant dividend changes have explanatory value in firm performance as measured by return on assets. I, therefore, want a regression of dividends as the explanatory variable to explain next years roailag. However, when I run the regression i get the no observations r(2000) error code. My code looks as follows:
Code:
by fakeID: replace divchange =  divchange[_n-1] if missing(divchange)
by fakeID: gen lastdayiy = yfiscaldif[_n+1]
by fakeID: gen roailag = roai[_n+1]
reg roailag divchange if divchange < -.20 & divchange > .25 & divchange < 5 & lastdayiy == 1
I am only interested in significant dividend changes which is why I limit the data to only be larger than 25% or smaller than -20%. The limit on the 500% is to limit outliers in the dataset. The lastdayiy is a dummy variable for the lastdayiy that I use so that I have the current dividend change but next years return on assets by lagging the return on assets one observation. The fakeID a numeric dummy variable for company names. A part of the data looks like this:
Code:
clear
input long datadate str88 conm double prccd float(roai lastdivd divchange dummy lastdayiy roailag fakeID)
14731 "A.P. MOLLER - MAERSK A/S B"    118300 -.021270856 111780000  . . 0 -.021270856 1
14732 "A.P. MOLLER - MAERSK A/S B"    117000 -.021270856 111780000  . . 0 -.021270856 1
14733 "A.P. MOLLER - MAERSK A/S B"    115000 -.021270856 111780000  . . 0 -.021270856 1
14734 "A.P. MOLLER - MAERSK A/S B"    114000 -.021270856 111780000  . . 0 -.021270856 1
14735 "A.P. MOLLER - MAERSK A/S B"    114500 -.021270856 111780000  . . 0 -.021270856 1
14738 "A.P. MOLLER - MAERSK A/S B"    116000 -.021270856 111780000  . . 0 -.021270856 1
14739 "A.P. MOLLER - MAERSK A/S B"    116500 -.021270856 111780000  . . 0 -.021270856 1
14740 "A.P. MOLLER - MAERSK A/S B"    116000 -.021270856 111780000  . . 0 -.021270856 1
14741 "A.P. MOLLER - MAERSK A/S B"    115000 -.021270856 122958000 .1 1 0 -.021270856 1
14742 "A.P. MOLLER - MAERSK A/S B"    114000 -.021270856 122958000 .1 . 0 -.021270856 1
14745 "A.P. MOLLER - MAERSK A/S B"    114000 -.021270856 122958000 .1 . 0 -.021270856 1
14746 "A.P. MOLLER - MAERSK A/S B"    115000 -.021270856 122958000 .1 . 0 -.021270856 1
14747 "A.P. MOLLER - MAERSK A/S B"    115500 -.021270856 122958000 .1 . 0 -.021270856 1
14748 "A.P. MOLLER - MAERSK A/S B"    115900 -.021270856 122958000 .1 . 0 -.021270856 1
14752 "A.P. MOLLER - MAERSK A/S B"    116000 -.021270856 122958000 .1 . 0 -.021270856 1
14753 "A.P. MOLLER - MAERSK A/S B"    116000 -.021270856 122958000 .1 . 0 -.021270856 1
14754 "A.P. MOLLER - MAERSK A/S B"    113000 -.021270856 122958000 .1 . 0 -.021270856 1
14755 "A.P. MOLLER - MAERSK A/S B"    119000 -.021270856 122958000 .1 . 0 -.021270856 1
14756 "A.P. MOLLER - MAERSK A/S B"    120500 -.021270856 122958000 .1 . 0 -.021270856 1
14759 "A.P. MOLLER - MAERSK A/S B"    124000 -.021270856 122958000 .1 . 0 -.021270856 1
14760 "A.P. MOLLER - MAERSK A/S B"    127000 -.021270856 122958000 .1 . 0 -.021270856 1
14761 "A.P. MOLLER - MAERSK A/S B"    125500 -.021270856 122958000 .1 . 0 -.021270856 1
14763 "A.P. MOLLER - MAERSK A/S B"    124000 -.021270856 122958000 .1 . 0 -.021270856 1
14767 "A.P. MOLLER - MAERSK A/S B"    125000 -.021270856 122958000 .1 . 0 -.021270856 1
14768 "A.P. MOLLER - MAERSK A/S B"    128400 -.021270856 122958000 .1 . 0 -.021270856 1
14769 "A.P. MOLLER - MAERSK A/S B"    128000 -.021270856 122958000 .1 . 0 -.021270856 1
14770 "A.P. MOLLER - MAERSK A/S B"  124624.5 -.021270856 122958000 .1 . 0 -.021270856 1
14774 "A.P. MOLLER - MAERSK A/S B"    118500 -.021270856 122958000 .1 . 0 -.021270856 1
14775 "A.P. MOLLER - MAERSK A/S B"    121500 -.021270856 122958000 .1 . 0 -.021270856 1
14776 "A.P. MOLLER - MAERSK A/S B"    119000 -.021270856 122958000 .1 . 0 -.021270856 1
14777 "A.P. MOLLER - MAERSK A/S B"    117800 -.021270856 122958000 .1 . 0 -.021270856 1
14780 "A.P. MOLLER - MAERSK A/S B"    116000 -.021270856 122958000 .1 . 0 -.021270856 1
14781 "A.P. MOLLER - MAERSK A/S B" 112657.14 -.021270856 122958000 .1 . 0 -.021270856 1
14782 "A.P. MOLLER - MAERSK A/S B"    114500 -.021270856 122958000 .1 . 0 -.021270856 1
14783 "A.P. MOLLER - MAERSK A/S B"    117000 -.021270856 122958000 .1 . 0 -.021270856 1
14784 "A.P. MOLLER - MAERSK A/S B" 118932.59 -.021270856 122958000 .1 . 0 -.021270856 1
14787 "A.P. MOLLER - MAERSK A/S B"    114500 -.021270856 122958000 .1 . 0 -.021270856 1
14788 "A.P. MOLLER - MAERSK A/S B"    115500 -.021270856 122958000 .1 . 0 -.021270856 1
14789 "A.P. MOLLER - MAERSK A/S B"    115000 -.021270856 122958000 .1 . 0 -.021270856 1
14790 "A.P. MOLLER - MAERSK A/S B"    111600 -.021270856 122958000 .1 . 0 -.021270856 1
14791 "A.P. MOLLER - MAERSK A/S B"    115500 -.021270856 122958000 .1 . 0 -.021270856 1
14794 "A.P. MOLLER - MAERSK A/S B"    118500 -.021270856 122958000 .1 . 0 -.021270856 1
14795 "A.P. MOLLER - MAERSK A/S B"    117500 -.021270856 122958000 .1 . 0 -.021270856 1
14796 "A.P. MOLLER - MAERSK A/S B"    115500 -.021270856 122958000 .1 . 0 -.021270856 1
14797 "A.P. MOLLER - MAERSK A/S B"    114500 -.021270856 122958000 .1 . 0 -.021270856 1
14798 "A.P. MOLLER - MAERSK A/S B"    115500 -.021270856 122958000 .1 . 0 -.021270856 1
14801 "A.P. MOLLER - MAERSK A/S B"    115400 -.021270856 122958000 .1 . 0 -.021270856 1
14802 "A.P. MOLLER - MAERSK A/S B"    115000 -.021270856 122958000 .1 . 0 -.021270856 1
14803 "A.P. MOLLER - MAERSK A/S B"    115625 -.021270856 122958000 .1 . 0 -.021270856 1
14804 "A.P. MOLLER - MAERSK A/S B" 115901.98 -.021270856 122958000 .1 . 0 -.021270856 1
14805 "A.P. MOLLER - MAERSK A/S B"    118000 -.021270856 122958000 .1 . 0 -.021270856 1
14808 "A.P. MOLLER - MAERSK A/S B"    118000 -.021270856 122958000 .1 . 0 -.021270856 1
14809 "A.P. MOLLER - MAERSK A/S B"    118000 -.021270856 122958000 .1 . 0 -.021270856 1
14810 "A.P. MOLLER - MAERSK A/S B"    118000 -.021270856 122958000 .1 . 0 -.021270856 1
14811 "A.P. MOLLER - MAERSK A/S B"    121500 -.021270856 122958000 .1 . 0 -.021270856 1
14812 "A.P. MOLLER - MAERSK A/S B"    119000 -.021270856 122958000 .1 . 0 -.021270856 1
14815 "A.P. MOLLER - MAERSK A/S B"    119300 -.021270856 122958000 .1 . 0 -.021270856 1
14816 "A.P. MOLLER - MAERSK A/S B"    117117 -.021270856 122958000 .1 . 0 -.021270856 1
14817 "A.P. MOLLER - MAERSK A/S B"    114500 -.021270856 122958000 .1 . 0 -.021270856 1
14818 "A.P. MOLLER - MAERSK A/S B"    113500 -.021270856 122958000 .1 . 0 -.021270856 1
14819 "A.P. MOLLER - MAERSK A/S B"    114000 -.021270856 122958000 .1 . 0 -.021270856 1
14822 "A.P. MOLLER - MAERSK A/S B"    117500 -.021270856 122958000 .1 . 0 -.021270856 1
14823 "A.P. MOLLER - MAERSK A/S B"    119000 -.021270856 122958000 .1 . 0 -.021270856 1
14824 "A.P. MOLLER - MAERSK A/S B"    118500 -.021270856 122958000 .1 . 0 -.021270856 1
14825 "A.P. MOLLER - MAERSK A/S B"    120000 -.021270856 122958000 .1 . 0 -.021270856 1
14826 "A.P. MOLLER - MAERSK A/S B"    123000 -.021270856 122958000 .1 . 0 -.021270856 1
14829 "A.P. MOLLER - MAERSK A/S B"    127000 -.021270856 122958000 .1 . 0 -.021270856 1
14830 "A.P. MOLLER - MAERSK A/S B"    123000 -.021270856 122958000 .1 . 0 -.021270856 1
14831 "A.P. MOLLER - MAERSK A/S B"    125000 -.021270856 122958000 .1 . 0 -.021270856 1
14832 "A.P. MOLLER - MAERSK A/S B"    125100 -.021270856 122958000 .1 . 0 -.021270856 1
14833 "A.P. MOLLER - MAERSK A/S B"    130000 -.021270856 122958000 .1 . 0 -.021270856 1
14836 "A.P. MOLLER - MAERSK A/S B"    131500 -.021270856 122958000 .1 . 0 -.021270856 1
14837 "A.P. MOLLER - MAERSK A/S B"    136000 -.021270856 122958000 .1 . 0 -.021270856 1
14838 "A.P. MOLLER - MAERSK A/S B"    141000 -.021270856 122958000 .1 . 0 -.021270856 1
14839 "A.P. MOLLER - MAERSK A/S B"    141000 -.021270856 122958000 .1 . 0 -.021270856 1
14840 "A.P. MOLLER - MAERSK A/S B"    140500 -.021270856 122958000 .1 . 0 -.021270856 1
14843 "A.P. MOLLER - MAERSK A/S B"    142500 -.021270856 122958000 .1 . 0 -.021270856 1
14844 "A.P. MOLLER - MAERSK A/S B"    141600 -.021270856 122958000 .1 . 0 -.021270856 1
14845 "A.P. MOLLER - MAERSK A/S B"    143500 -.021270856 122958000 .1 . 0 -.021270856 1
14846 "A.P. MOLLER - MAERSK A/S B"    139000 -.021270856 122958000 .1 . 0 -.021270856 1
14847 "A.P. MOLLER - MAERSK A/S B"    139000 -.021270856 122958000 .1 . 0 -.021270856 1
14850 "A.P. MOLLER - MAERSK A/S B"    142000 -.021270856 122958000 .1 . 0 -.021270856 1
14851 "A.P. MOLLER - MAERSK A/S B"    138500 -.021270856 122958000 .1 . 0 -.021270856 1
14852 "A.P. MOLLER - MAERSK A/S B"    139000 -.021270856 122958000 .1 . 0 -.021270856 1
14853 "A.P. MOLLER - MAERSK A/S B"    139500 -.021270856 122958000 .1 . 0 -.021270856 1
14854 "A.P. MOLLER - MAERSK A/S B"    137500 -.021270856 122958000 .1 . 0 -.021270856 1
14857 "A.P. MOLLER - MAERSK A/S B"    134000 -.021270856 122958000 .1 . 0 -.021270856 1
14858 "A.P. MOLLER - MAERSK A/S B"    139500 -.021270856 122958000 .1 . 0 -.021270856 1
14859 "A.P. MOLLER - MAERSK A/S B"    140000 -.021270856 122958000 .1 . 0 -.021270856 1
14860 "A.P. MOLLER - MAERSK A/S B"    141000 -.021270856 122958000 .1 . 0 -.021270856 1
14861 "A.P. MOLLER - MAERSK A/S B"    143900 -.021270856 122958000 .1 . 0 -.021270856 1
14864 "A.P. MOLLER - MAERSK A/S B"    142000 -.021270856 122958000 .1 . 0 -.021270856 1
14865 "A.P. MOLLER - MAERSK A/S B"    138000 -.021270856 122958000 .1 . 0 -.021270856 1
14866 "A.P. MOLLER - MAERSK A/S B"    137800 -.021270856 122958000 .1 . 0 -.021270856 1
14867 "A.P. MOLLER - MAERSK A/S B"    139500 -.021270856 122958000 .1 . 0 -.021270856 1
14868 "A.P. MOLLER - MAERSK A/S B"    134000 -.021270856 122958000 .1 . 0 -.021270856 1
14871 "A.P. MOLLER - MAERSK A/S B"    129500 -.021270856 122958000 .1 . 0 -.021270856 1
14872 "A.P. MOLLER - MAERSK A/S B"    127000 -.021270856 122958000 .1 . 0 -.021270856 1
14873 "A.P. MOLLER - MAERSK A/S B"    128000 -.021270856 122958000 .1 . 0 -.021270856 1
14874 "A.P. MOLLER - MAERSK A/S B"    127000 -.021270856 122958000 .1 . 0 -.021270856 1
end
format %d datadate