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st: Interpolating missing prices


From   Beatrice Crozza <beatrice.crozza@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Interpolating missing prices
Date   Sat, 23 Jul 2011 23:45:23 +0200

Dear All,

I have a high-frequency price series with many missing values:

date	                 time  	price
26jan2008	83000		
26jan2008	83500		
26jan2008	84000		
26jan2008	84500	100.1
26jan2008	85000		
26jan2008	85500		
26jan2008	90000		
26jan2008	90500		
26jan2008	91000	100.14
26jan2008	91500	
26jan2008	92000	100.12
26jan2008	92500	
26jan2008	93000	100.15

I would like to interpolate missing prices with the aritmetic mean of
the previous and the next prices to the missing one.

I typed:
by date: gen price2=(price[_n-1]+price[_n+1])/2 if price[_n]==.

however, I receive many missing values as result.

How can I ask Stata to use for the interpolation only the available
prices, avoiding the missing values?

Thank you very much for your help.

Best,
Bea
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