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st: RE: RE: Create variable conditional on several others


From   Linn Renée Naper <linn.naper@ecgroup.no>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Create variable conditional on several others
Date   Fri, 24 Apr 2009 09:59:19 +0200

Hi Nick
Thanks, these codes are really useful and works just perfect.
Great!

Linn

-----Opprinnelig melding-----
Fra: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] På vegne av Nick Cox
Sendt: 23. april 2009 18:19
Til: statalist@hsphsun2.harvard.edu
Emne: st: RE: Create variable conditional on several others

You presumably need also to factor in wrapping around the end of the
year.  For example, on 5 November there will be prices for DEC, JAN, FEB. 

Note that the names JAN ... DEC just make programming more difficult, so
you could (arguably should) -rename-. This is easy through 

renvars JAN-DEC \ f1-f12 

where -renvars- can be found through -search-. 

There are two situations: the non-missing months are consecutive

1 2 3       for month 12 
2 3 4                 1
...
10 11 12              9   

Or not 

1 11 12   (really 11 12 1) for month 10 
1 2 12    (really 12 1 2)            11 

The current month is 

gen curmon = month(mydate) 

Here is the code done slowly by going through three cases:  

forval j = 1/3 { 
	gen month`j' = . 
}

forval m = 1/12 { 
	local M1 = cond(`m' == 12, 1, `m' + 1) 
	local M2 = cond(`m' == 11, 1, cond(`m' == 12, 2, `m' + 2)) 
	local M3 = ///
cond(`m' == 10, 1, cond(`m' == 11, 2, cond(`m' == 12, 3,  `m' + 3))) 
	replace month1 = f`M1' if curmon == `m' 
	replace month2 = f`M2' if curmon == `m' 
	replace month3 = f`M3' if curmon == `m' 
} 

The code could be shorter, but it might then be (even) more cryptic. 

Nick 
n.j.cox@durham.ac.uk 

Linn Renée Naper

I have the following challenge related to creating new variables.
In my data I have daily settlement prices from a futures market. For each date (day) I have the variables JAN, FEB---- DEC (12 months). Every day there are registered prices for the next 3 months, meaning that for a given date 27dec2007 I may have observations for JAN FEB and MAR, and missing in all other months. Under is a part of these data:

mydate	JAN	FEB	MAR
03dec2007	7.6	5.6	
04dec2007	7.75	7	
05dec2007	8	7.63	
06dec2007	9	7.65	
07dec2007	8	7.75	
10dec2007	8.7	8.7	
11dec2007	8.45	8.45	
12dec2007	7.43	7.43	
13dec2007	7.45	7.45	
14dec2007	6.3	6.2	
17dec2007	6.25	6.25	
18dec2007	6.93	6.93	
19dec2007	7.2	7.2	
20dec2007	6.25	7.13	
21dec2007	7	7.45	
27dec2007	6.7	6.5	6
28dec2007	6.63	6.75	6
02jan2008		6.73	6
03jan2008		6.63	5.78
04jan2008		6.38	5.73
07jan2008		6.45	6.23
08jan2008		6.3	6
09jan2008		6.18	5.5
10jan2008		6.38	5.5
11jan2008		6.08	5.53
14jan2008		6.25	5.65
15jan2008		6.25	5.65
16jan2008		5.8	5.6
17jan2008		5.88	5.55
18jan2008		5.88	5.75
21jan2008		6.25	5.88
22jan2008		6.75	6.35
23jan2008		6.65	6.25

What I need to do is to create three more general variables, MONTH1-MONTH2 -MONTH3, that capture the price for the next month (the second next etc.) at a given date etc. 
I was thinking that this might be done by asking Stata to look through the 12 month variables I have, and for the variable MONTH1 then replace this with the first observation not missing. Then for the Variable MONTH2 replace with the SECOND observation of the 12 variables not missing and so on-- 

With the displayed data above this means that MONTH1 would be 7.6 for 03Dec2007, and 6.73 for 02Jan2008, MONTH2 would be 5.6 for 03Dec2008 and 6 for 02Jan2008, etc. 

My data is large, so it would be great to have a more general command to create these variables.
Hope someone is able to understand this explanation!

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