asrol library needs to be set up

OpenSourceAP / CrossSection

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626

GNU General Public License v2.0

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asrol library needs to be set up #73

Closed chenandrewy closed 2 years ago

chenandrewy commented 2 years ago

@antoniogilderubio is getting a lot of r(111) errors like these: but I have no such errors when I run it. I think an anonymous github user posted a similar issue.

I think there are about 10 in total.

Is there a way we can add the asrol setup to master.do somehow?

tomz23 commented 2 years ago

So it seems to me that asrol changed automated variable naming from StatisticLag_Varname to Varname_StatisticLag in the new version. This affects all signal files that use asrol. I'll update those to be consistent with the new naming convention.

tomz23 commented 2 years ago

Sigh, I received another error as well which I think is due to a version update. For example. for DivYieldAnn.do:

Since ssc install does not support installing specific versions of commands, I think we'll have to update to the newest version of asrol and understand the error above (which I currently do not do).

tomz23 commented 2 years ago

Fixed in https://github.com/OpenSourceAP/CrossSection/commit/ca194d3bb3d0561060c3473a12abcbe0655e0e11