Dear all
I do have a panel of several thousand stocks. Each stock has an id
called ID_now. However, there is a problem: The stock's id may change
over time. Therefore, I do have variable ID_nextperiod which contains
the stock's id in the next period. The data looks like this:
Date ID_now ID_nextperiod Price_now
1 1 1 100
2 1 1 110
3 1 1 105
4 1 1 100
3 2 2 22
4 2 2 27
1 3 3 20
2 3 2 25
1 4 5 60
2 5 5 65
3 5 5 67
...
What I would like to do is calculating the discrete stock returns. If
the stock's ID would not change over time this could be achieved (after
tssetting the dataset) by simply typing
. PriceRet = Price_now / L.Price_now - 1
However, I do not have any idea how to calculate the discrete stock
returns in case of changing IDs. Any ideas would be appreciated.
Best,
Daniel
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