It is not clear that these identifiers are
really identifiers. Or, to put it another way,
how can this problem be solved at all?
As I understand it, you may need a new identifier
based on a combination of now and the
next period. So, any stock that is 3 now
and 2 next period cannot be the same item
as one that is 3 and 3, any more than a person
who is male now and female next week can be the
same person as someone with more stable gender.
But does a combination of now and next uniquely
identify stock?
Nick
[email protected]
Daniel H�chle
> I do have a panel of several thousand stocks. Each stock has an id
> called ID_now. However, there is a problem: The stock's id may change
> over time. Therefore, I do have variable ID_nextperiod which contains
> the stock's id in the next period. The data looks like this:
>
> Date ID_now ID_nextperiod Price_now
> 1 1 1 100
> 2 1 1 110
> 3 1 1 105
> 4 1 1 100
> 3 2 2 22
> 4 2 2 27
> 1 3 3 20
> 2 3 2 25
> 1 4 5 60
> 2 5 5 65
> 3 5 5 67
> ...
>
> What I would like to do is calculating the discrete stock returns. If
> the stock's ID would not change over time this could be
> achieved (after
> tssetting the dataset) by simply typing
>
> . PriceRet = Price_now / L.Price_now - 1
>
> However, I do not have any idea how to calculate the discrete stock
> returns in case of changing IDs. Any ideas would be appreciated.
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