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


From   "Beatrice Crozza" <beatrice.crozza@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: High-frequency time-series (stata 10)
Date   Wed, 24 Sep 2008 16:05:07 +0100

Dear Austin,

thank you very much for yor suggestion.
However, my bids and asks are for a same bond and also if I want to
treat my data as panel data, I encounter always the same problem of
repeated time values within panel.

Any idea of how to overcome the problem?

Thanks a lot

Bea

2008/9/24 Austin Nichols <austinnichols@gmail.com>:
> 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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