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Re: st: How to convert Daily data with gaps to weekly?


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: How to convert Daily data with gaps to weekly?
Date   Sat, 10 Mar 2012 12:21:24 -0500

<>

On Mar 7, 2012, at 2:33 AM, Joao wrote:

> I'm working with a time series of guava price like this:
> 
> input str11 date preco_goi
> 7-Oct-2004      9.00
> 10-Oct-2004     8.00
> 12-Oct-2004     8.00
> 14-Oct-2004     7.00
> 17-Oct-2004     6.00
> 19-Oct-2004     6.00
> 21-Oct-2004     7.00
> 24-Oct-2004     7.00
> 26-Oct-2004     8.00
> 28-Oct-2004     9.00
> 31-Oct-2004     9.00
> 2-Nov-2004      9.00
> 4-Nov-2004      10.00
> 9-Nov-2004      10.00
> 11-Nov-2004     10.00
> 14-Nov-2004     10.00
> 16-Nov-2004     9.00
> 18-Nov-2004     8.00
> 21-Nov-2004     8.00
> 23-Nov-2004     7.00
> 25-Nov-2004     7.00
> 28-Nov-2004     7.00
> 30-Nov-2004     7.00
> end
> 
> The time series is daily but with gaps. Thus, I can´t use the -dfgls-
> command, for example and others TS commands.
> 
> What can I do in this case? Can I convert the daily data with gaps to
> weekly? Is there a better procedure to do the trick?


Just create a sequential variable:

g t = _n
tsset t

In Stata 12 you can also set up a business-daily calendar which only contains trading days.

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




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