Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Re: Tsset for 5-day week


From   Kit Baum <baum@bc.edu>
To   "Zaafri A. Husodo" <z.husodo@student.unsw.edu.au>
Subject   st: Re: Tsset for 5-day week
Date   Sat, 6 Aug 2005 07:04:05 -0400

Zaafri,

Stata does not deal with business-daily data. The gaps introduced by tsfill will make many commands fail. You should just gen t = _n and tsset t. You can maintain a separate date variable in order to examine the number of calendar days between successive obs. if that is important. You just do not use it with tsset.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Aug 6, 2005, at 12:53 AM, Zaafri A. Husodo wrote:


Dear Prof. Baum,


I am working on my reserch in the area of capital market. You helped me a lot during my previous research of modeling TARCH.

In this time, my problem is about setting the time series for my data that consists of 5-day week stock price. I have been trying to tsset my data and always come up with may gaps, since my data is not full 7-day week. I can not find a way to let STATA read 5-day week.

Please help me to solve this problem.


Kind regards,
Zaafri



+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
Zaafri Husodo
PhD Student
School of Banking and Finance
University of New South Wales
mobile: 0403 12 1974
Find my article in: http://ssrn.com/abstract=718661
+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index