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st: High-frequency time-series (stata 10)


From   "Beatrice Crozza" <beatrice.crozza@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: High-frequency time-series (stata 10)
Date   Wed, 24 Sep 2008 12:33:09 +0100

Dear All,

I know that with Stata 10 all time-series analysis commands now
support data with frequencies as high as 1 millisecond.

I would like to treat my dataset as a time-series,I have
high-frequency data(5-minute intervals) and a variable (timedate) that
is composed of the time and the date for each bid and ask. My problem
is that I have duplicate data, because for each timedate there could
be more than one bid and more than one ask, so Stata gave me this
error message:

. tsset timedate, delta(5 minute)
repeated time values in sample
r(451);

I need to treat my date as a time-series to do an AR analysis for bids
and asks through time.
I am thinking to assign a number ( in sequential order) to each
timedate and than to use the command tsset with this new variable.

Do you think that this procedure is right to achieve my goal?

Do you have any idea on how to assign a sequential number to each bid
and ask, without using Excel?

Thank you very much in advance.

Best,
Bea
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