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st: -tsfill- with weekly data

From   "Danielle H. Ferry" <>
Subject   st: -tsfill- with weekly data
Date   Wed, 15 Mar 2006 17:48:50 -0500

Hi again,

I have panel data in which the time dimension is weekly. Thus, I have info for
month, day, year. I want to -tsfill- it b/c the time range differs depending
on the panelvar. After I execute -tsfill- I want to set month, day, year for
the new obs. My code goes like this:

tempvar time;
ge `time' = mdy(month, day, year);
tempvar yearWeek;
ge `yearWeek' = yw(year(`time'), week(`time'));
tempvar panelvar;
egen `panelvar' = group(variable `geog');

/* this dupe business is b/c some years have 53 weeks, but Stata only allows
52 weeks */	
tempvar dupe;
duplicates tag `panelvar' `yearWeek', ge(`dupe');
sort `panelvar' `yearWeek';
tempvar temp_value;
egen `temp_value' = mean(value) if `dupe'==1, 
	by(`panelvar' `yearWeek');
replace value = `temp_value' if `dupe'==1;
duplicates drop `panelvar' `yearWeek', force;
tsset `panelvar' `yearWeek', weekly;
tsfill, full;
replace year = year(`yearWeek') if year==.;
replace month = month(`yearWeek') if month==.;
replace day = day(`yearWeek') if day==.; 

The problem is that these last 3 lines don't work right. For example, the
range for the year I fill is [1962, 1966] but the year range I start with is
[1980, 2006]. I assume I am using the functions wrong. 

If I did instead:

tsset `panelvar' `time', weekly;

tsfill, full;
replace year = year(`time') if year==.;
replace month = month(`time') if month==.;
replace day = day(`time') if day==.; 

Then the last 3 lines work out right. BUT the -tsfill- gives me too many days
for each year/month. I.e., I get day = 1, 2, 3, 4, etc. for a given
year/month, when there should only be 4 or 5 different days, separated by 7,
in a given year/month. 

How can I get the best of both worlds?

Danielle Ferry

National Bureau of Economic Research <>

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