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st: generate the level series from the growth rate series


From   annoporci <annoporci@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: generate the level series from the growth rate series
Date   Fri, 04 Jan 2013 07:50:36 +0800

Dear Statalist,

This must be a very simple question...

I have data for percentage changes and would like to reconstruct the
levels of the variables.

Taking the sp500 dataset, I show below that I can generate the one-period
difference series for the level variable "close", with and without tsset.
Then I try to reverse-engineer to recover the level variable "close" from
the difference series named "change", but I get stuck.

sysuse sp500
gen change2 = close-close[_n-1] /// method without tsset

gen t=_n
tsset t
gen change3 = close-L.close /// method with tsset

gen close2 = .
replace close2 = 1283.27 in 1 /// assign the first value
replace close2 = close2[_n-1]+change /// try to recover the level

This last step fails.

I'd appreciate your help very much.

--
Patrick Toche.
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