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Re: st: creating a Stata 12 business calendar


From   Francesco <cariboupad@gmx.fr>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: creating a Stata 12 business calendar
Date   Wed, 25 Apr 2012 14:00:02 +0200

Dear Alberto,

Many thanks, your solution is very nice !
Have a nice day,

Best

On 25 April 2012 00:13, Alberto Dorantes
<alberto.dorantes@finanzastec.net> wrote:
>
> Another very simple solution is creating a time consecutive variable
> in your dataset with the command, and tsset with this variable:
> gen myt=_n
> tsset myt
>
> The disadvantage of doing this is that if you use graphs or most
> output commands,  you will see this number myt, not the actual date in
> a "human readable" format.
>
> Regards... Alberto.
>
>
> 2012/4/24 Alberto Dorantes <alberto.dorantes@finanzastec.net>:
> > 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/
>
> *
> *   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/

*
*   For searches and help try:
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*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


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