Beatrice Crozza <[email protected]>:
Sounds like you have panel data, not time series data. See -help xt-
and the manual [XT]. Are these bids and asks for different
commodities/stocks/bonds or traders? Do you have a variable that
identifies them? Call that variable id and then:
tsset id timedate, delta(5 minute)
On Wed, Sep 24, 2008 at 7:33 AM, Beatrice Crozza
<[email protected]> wrote:
> Dear All,
>
> I know that with Stata 10 all time-series analysis commands now
> support data with frequencies as high as 1 millisecond.
>
> I would like to treat my dataset as a time-series,I have
> high-frequency data(5-minute intervals) and a variable (timedate) that
> is composed of the time and the date for each bid and ask. My problem
> is that I have duplicate data, because for each timedate there could
> be more than one bid and more than one ask, so Stata gave me this
> error message:
>
> . tsset timedate, delta(5 minute)
> repeated time values in sample
> r(451);
>
> I need to treat my date as a time-series to do an AR analysis for bids
> and asks through time.
> I am thinking to assign a number ( in sequential order) to each
> timedate and than to use the command tsset with this new variable.
>
> Do you think that this procedure is right to achieve my goal?
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