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Re: st: Using postfile to save single observations from a dataset


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Using postfile to save single observations from a dataset
Date   Thu, 28 Mar 2013 15:50:20 +0000

You don't show us any Stata code, so it is difficult to guess what you
are doing wrong. But you don't need to work with any files, let alone
one for each observation.

You can

reshape long ret, i(Date) j(FundID) string
egen ID = group(FundID), label
tsset ID Date

and then lagged variables are available using time series operators.

Nick

On Thu, Mar 28, 2013 at 3:37 PM, Nick Baker <nb419@cam.ac.uk> wrote:

> I currently have a time series dataset where the variables are the returns
> of several hundred mutual funds:
>
>         Date    retfund1        retfund2
> 1       2006m1  -12.38985       10.39785
> 2       2006m2  -8.219995       9.54027
> 3       2006m3  5.497518        -5.947091
> 4       2006m4  -0.9465399      -2.846269
> 5       2006m5  2.219898        -12.51931
> 6       2006m6  0.4326888       -2.443768
>
> What I want to do is to get these data into a long form with information on
> lagged returns:
>
> FundID  Date    ret(t-1)        ret(t-2)
> 1       2006m1  .       .
> 1       2006m2  -12.38985       .
> 1       2006m3  -8.219995       -12.38985
> 1       2006m4  5.497518        -8.219995
> 1       2006m5  -0.9465399      5.497518
> 1       2006m6  2.219898        -0.9465399
> 2       2006m1  .       .
> 2       2006m2  10.39785        .
> 2       2006m3  9.54027 10.39785
> 2       2006m4  -5.947091       9.54027
> 2       2006m5  -2.846269       -5.947091
> 2       2006m6  -12.51931       -2.846269
>
>
> Currently, for each fund I am generating variables of lagged returns and am
> then attempting to save each observation to a seperate dataset using
> postfile within a forvalues loop over the date range. However the resulting
> postfile does not contain a single observation. Has anyone else had a
> similar problem? Is there a way to do this without attempting to loop over
> obsevations?
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