Nick,
> 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 a person who has a maiden name last week and a married name this week
is the same person. This is what Daniel has, more or less.
--M
> 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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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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