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Re: st: generate the level series from the growth rate series


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: generate the level series from the growth rate series
Date   Fri, 4 Jan 2013 03:14:41 +0000

And your initial values come from where?

Nick

On Thu, Jan 3, 2013 at 11:50 PM, annoporci <annoporci@gmail.com> wrote:
> 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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