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Fwd: st: Business date for panel data


From   Rebecca Pope <rebecca.a.pope@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Fwd: st: Business date for panel data
Date   Fri, 1 Mar 2013 12:18:23 -0600

Thomas,
I'm sorry, I just realized something that may solve your problem quicker...

Your original post mentioned %tbsimple. simple.stbcal is an example
that is distributed with Stata. It is not a complete business
calendar. Are you using your own business calendar or did you try to
use simple.stbcal to format your panel data? If you used simple, you
would only have defined values over the range 11/1/2011 to 11/30/2011.

By accident, I replied to Thomas's e-mail & not the list. For the list
(to catch you up):

---------- Forwarded message ----------
From: Thomas Leirvik <thomas.leirvik@gmail.com>
Date: Fri, Mar 1, 2013 at 11:09 AM
Subject: Re: st: Business date for panel data
To: Rebecca Pope <rebecca.a.pope@gmail.com>


Hi Rebecca,

Thanks!
However, this does not take into account if there are no trades one
day where is could've been a trade. (As in the example with no trade
on Tuesday)

I'm considering the liquidity of corporate bonds, so the number of no
trades on an actual trading/business day is one way to measure
liquidity.
I do have a variable called consecutive, which is zero if no trade on
a business day, and 1 else, but I had to export the dataset to Excel
to make it. This  quickly become quite time-consuming..

Anyways, thanks again!

Best,
Thomas


On Mar 1, 2013, at 11:40 AM, Rebecca Pope wrote:

bys id ( trd_exctn_dt): gen Lprice = rptd_high_pr[_n-1]
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