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st: business days


From   Mats Ljungren <econometri@live.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: business days
Date   Wed, 4 Dec 2013 20:11:12 +0100

Hi,
I am using finance time series such as equity prices from different countries with different holidays vs business days.

I need help with three issues,
1. How can I make sure Stata to understand that my I have a daily series including only business days?
2. How to merge series and delete generated missing observation from the new data set?
3. How may I do imputation for missing observations, a) let the observation before the missing observation to be repeated and replace the missing observation, b) replace the missing observation with the average value of the observations before and after. In the latter case maybe there are 2-3 holidays that must be filled in with the average of the observation before the missing series and the observation after the missing series.

Hopefully the problems are well known for many of you.

I will thank you in advance for helping me thoroughly and patiently. 

Regards,
Mats 		 	   		  
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