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st: Datetime as tsset


From   Katia Bobulova <katia.bobulova@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Datetime as tsset
Date   Wed, 25 Nov 2009 18:03:14 +0000

Dear All,

I am tying to calculate the return( the absolute difference between
two log prices) for my series of data.
I need to calculate it for each day and each time intervals, so this
means that I don't want the difference between the last price of one
day and the first price of the next day. My time goes from 8:30 to
17:30.
I construct the variable datetime that combines the date and the time.
I used it as tsset  but it doesn't work.

Do you have any suggestion?

Thanks a lot

Katia
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