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From |
Stata Chris <statachris@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: AW: For each fund-asset pair I have observations on some periods, and want have them on each possible period... |

Date |
Fri, 24 Jul 2009 12:11:21 -0400 |

Many thanks, that already gets me much closer. Unfortunately though a problem remains when I run this: Since I have very many different assets, filling in all assets in all periods turned out to kill my computer, i.e. it just got hung up for half an hour before I exited, and I think that if I had let it complete the task the resulting dataset would likely have been too large as well. Do you have an idea how I could fill in only those observations which I actually need: Namely for each fund-asset pair I would like to fill in a period only if the respective pair was observed in the previous or subsequent period? Thanks, Chris 2009/7/24 Martin Weiss <martin.weiss1@gmx.de>: > > <> > > Here is an example for "Stata Chris" using -fillin- > > > ************* > clear* > set obs 5 > > // fund id > gen fundid=_n > lab var fundid "Fund ID" > > // expand to 4 of time periods > expand 4 > bys fundid: gen time=_n > > // 3 assets > expand 3 > bys fundid time:/* > */ gen asset=_n > > // generate value and holdings > gen quantity=/* > */ rnormal() > gen value=/* > */ 100*rnormal() > > // inducing missings > drop if runiform()<0.1 > > /* > recover "full" > dataset with -fillin- > */ > > fillin fundid time asset > > //whenever filled in: > //really zero > //important to distinguish > //from "real" missings > replace quantity=0 if _fillin==1 > > //get the stock of holdings > bys fundid asset (time): /* > */ gen holding=sum(quantity) > > compress > list fundid time asset /* > */ quantity holding, noobs /* > */ sepby(fundid asset) > > //get rid of aux var > drop _fillin > ************* > > > > HTH > Martin > > > -----Ursprüngliche Nachricht----- > Von: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Stata Chris > Gesendet: Freitag, 24. Juli 2009 17:03 > An: statalist@hsphsun2.harvard.edu > Betreff: st: For each fund-asset pair I have observations on some periods, > and want have them on each possible period... > > Hi Statalisters, > > I have the following challenge: > > I have a dataset that gives me for each fund-asset-period triple the > quantity and value of holdings (i.e. how much of asset j did fund i > hold in period t). > >From this, I have for each such triple generated the flow (i.e. how > much did the fund buy or sell of a certain asset) from last period > until now. > > The problem is that the original dataset does not list holdings or size > zero. > Consequence: If a fund held say 500 units of an asset and then sold > all of these, the respective fund-asset-period observation for the > next period does not exist, so when I compute the flow I get a missing > observation, although it should say flow=-500. > Analogously, if the fund has bought 500 units of an assets after > previously holdings of zero, I would like to have Stata tell me that > the flow equals +500, but instead it will tell me that the flow is > missing. > > So I figured the best thing to do, to be on the safe side, would be to > make sure that for each fund-asset pair I have observations on all > periods, rather than just on those for which holdings were listed. > > In upshot: My data are currently in long form, with each observation > being a unique fund-asset-period triple. However, for each fund-asset > pair I have observations on some but not all of up to 60 periods. The > question is: How can I add observations such that for each pair there > is an observation on each of the 60 periods (some of which may only > have missing values, but they need to be listed)? > > Many thanks for your help! > > Chris > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: AW: For each fund-asset pair I have observations on some periods, and want have them on each possible period...***From:*Jeph Herrin <junk@spandrel.net>

**References**:**st: For each fund-asset pair I have observations on some periods, and want have them on each possible period...***From:*Stata Chris <statachris@gmail.com>

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