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Re: st: creating a Stata 12 business calendar


From   Alberto Dorantes <alberto.dorantes@finanzastec.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: creating a Stata 12 business calendar
Date   Tue, 24 Apr 2012 16:41:44 -0500

Hi Francesco.
Here is an example that might help you:

1) Create a time series stata file with all possible business days in
the period you want
2) Using tsset and tsfill create a file that has the days that are
omitted in your time series, and save this file
3) Edit this file in the format required by any
Stata-Business-Calendar file (.stbcal) to indicate the time period and
other details.
4) Save this file with the extension .stbcal
5) Use the function bofd to calculate your own calendar code
6) format your calendar code variable using %tbYOURVARIABLE

Here is an example:

* Using the s&p500 index from the online Fred database:
freduse SP500
* If you have not used the freduse command, just type "findit
freduse", and install this command
tsset daten
* Use the tsfill command to add ALL possible dates that are not
included in the SP500 file:
tsfill
* Now keep only those dates that were included with the tsfill command
(the omitted dates or non-business days):
keep if SP500==.
drop date SP500
* Now drop all weekend days from the file:
drop if dow(daten)==0 | dow(daten)==6
* Now generate 2 string variables:
gen omit="omit "
gen date="date "
* Change the order of the variables:
order daten, after(date)
* Now save the file to a txt file with the extension .stbcal:
outsheet using "micalendario.stbcal", comma nonames replace

/* The following are instructions you HAVE to FOLLOW to MANIPULATE the
.stbcal file:

* Open the Stata do-file Editor, and load the file micalendario.stbcal
and replace the double quote (") character by an empty
* character, and the comma character by an empty space.
* At the beginning of the file, copy the following rows to the file
(without the asterisc *):
* version 12
* range 02jan1957 23apr2012
* centerdate 01jan1960
* omit dayofweek (Sa Su)
*
* Save the file with the same name "micalendario.stbcal" or the name
you had chosen
*/

* Now you can continue with the following commands to generate your
business calendar code:

freduse SP500, clear
gen diahabil=bofd("micalendario", daten)
format diahabil %tbmicalendario
* Testing that your calendar code worked, type:
tsset diahabil
count if missing(L1.SP500) & _n>1
* You have to get zero from this count. This means that in your
calendar code, there are no gaps, so you can use tsset without
*  problem.
* THAT'S IT!

The micalendario.stbcal file have to look something like:

version 12
range 02jan1957 23apr2012
centerdate 01jan1960
omit dayofweek (Sa Su)

omit date 22feb1957
omit date 19apr1957
omit date 30may1957
omit date 04jul1957
omit date 02sep1957
omit date 05nov1957
omit date 28nov1957
omit date 25dec1957
omit date 01jan1958
omit date 04apr1958
omit date 30may1958
omit date 04jul1958
omit date 01sep1958
omit date 04nov1958
omit date 27nov1958
omit date 25dec1958
omit date 26dec1958
...
...

I hope this will help.

Alberto Dorantes.


2012/4/22 Francesco <cariboupad@gmx.fr>:
> Dear Statalist,
>
> I would like to create my own business calendar, but I cannot find how
> by just reading the manual...
> It seems indeed that when creating a .stbcal file I can only omit
> specific dates (holidays, sundays, etc).
>
> However I would like to do the opposite : I directly have the full
> list of business dates I would like to consider.. I am doing this
> because I would like to easily obtain the previous  business day from
> any date in my dataset (according to my calendar)
> How can I tell Stata 12 to use those dates as a new business calendar
> ? Do you have an idea ?
>
>
> Many thanks for your suggestions,
> Best
> *
> *   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/

*
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