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st: Re: Tsset for 5-day week
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
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
Please help me to solve this problem.
School of Banking and Finance
University of New South Wales
mobile: 0403 12 1974
Find my article in: http://ssrn.com/abstract=718661
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