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


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: High-frequency time-series (stata 10)
Date   Wed, 24 Sep 2008 10:28:55 -0400

Beatrice Crozza <beatrice.crozza@gmail.com>:
Sounds like you have panel data, not time series data.  See -help xt-
and the manual [XT].  Are these bids and asks for different
commodities/stocks/bonds or traders?  Do you have a variable that
identifies them?  Call that variable id and then:

tsset id timedate, delta(5 minute)

On Wed, Sep 24, 2008 at 7:33 AM, Beatrice Crozza
<beatrice.crozza@gmail.com> wrote:
> 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?
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