<>
*******
clear*
input byte (day interval price)
1 1 43
1 2 42
1 3 39
1 4 48
2 1 12
2 2 23
2 3 22
2 4 21
end
gen logprice=log(price)
compress
tsset day interval
gen return=logprice-L.logprice
list, noo sepby(day)
*******
HTH
Martin
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Katia Bobulova
Sent: Mittwoch, 25. November 2009 19:03
To: [email protected]
Subject: st: Datetime as tsset
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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