Re: st: Collapsing daily data to a monthly data on the 15th each month

[Nick Cox <njcoxstata@gmail.com>]

You can work this out.

The start of each "month" is the 16th of that "month". I called this
the "target" for some reason that escapes me, perhaps that it is our
aim to calculate this.

Here is an attempt at more general code, setting aside the previous
idea of copying of dates that are already the 16th and surgery at the
beginning of each panel. (You didn't say before that you had panels.
Conversely, my code before assumed that the dates of 16th are always
present in the data. I don't assume that any more.)

The previous target is in the previous month for days of the month up
to 15 and in the same month otherwise. But the previous month for
January is naturally December.

gen month_target = cond(day(date) <= 15, month(date) - 1, month(date))
replace month_target = 12 if month_target == 0

Similarly, the year of the target is in the same year, unless it was
in the previous December.

gen year_target = cond(month_target == 12, year(date) - 1, year(date))

So,

gen target = mdy(month_target, 16, year_target)

and your calculations are typically

bysort <panelid> target :

or

... by(<panelid> target)

I've not tested this code, but it should get you started.

Nick
njcoxstata@gmail.com

On 22 January 2014 12:21, Anonymous User wrote:

> Thank you Nick for the very useful reply!
>
> Unfortunately I'm still struggling with the second command:
> replace target = mdy(<month>, 16, <year>) in 1
>
> As you described, there is some surgery needed, because not every
> month has a 16th day(business days). Problem is that I can't adapt
> this manually as I have data for 10 years and for 400 firms (about 1.5
> million observations).
>
> Hopefully you can help me out how to fix this.

On 21 January 2014 18:56, Nick Cox <njcoxstata@gmail.com> wrote:

>> Let's identify each month by a start date that is 16th of each month
>> and each year.
>>
>> The target starts are
>>
>> gen target = date if day(date) == 16
>>
>> Some surgery will needed at the beginning to enter an appropriate
>> target for observation 1 if the first day is not the 16th.
>>
>> replace target = mdy(<month>, 16, <year>) in 1
>>
>> Then we copy each target by
>>
>> replace target = target[_n-1] if missing(target)
>>
>> then -collapse ... , by(target)-

On 21 January 2014 17:42, Anonymous User wrote:

>>> I would like to transform my daily data to monthly data, calculated on
>>> the 15th of each month, more precisely, from the 16th day of a
>>> specific month up to and including the 15th day of the following
>>> month. The problem is that I can only find the way to this it based on
>>> 'regular' months. This can be done by using the following commands:
>>>
>>> g dm=mofd(date)
>>> format dm %tm
>>> collapse  prc ret shrout vwretd ewretd, by (dm)
>>> tsset dm, monthly
>>>
>>> Since I'm having inflation dates on the 15th each month I would like
>>> to have the monthly data on the 15th as well, otherwise there will be
>>> a mismatch in my data. The data on my dates looks like below:
>>>
>>> 16dec2002
>>> 17dec2002
>>> 18dec2002
>>> 19dec2002
>>> 20dec2002
>>> 23dec2002
>>> 24dec2002
>>> 26dec2002
>>> 27dec2002
>>> 30dec2002
>>> 31dec2002
>>> 02jan2003
>>> 03jan2003
>>> 06jan2003
>>> 07jan2003
>>> 08jan2003
>>> 09jan2003
>>> 10jan2003
>>> 13jan2003
>>> 14jan2003
>>> 15jan2003
>>> 16jan2003
>>> 17jan2003
>>> 21jan2003
>>> 22jan2003
>>> 23jan2003
>>> 24jan2003
>>> 27jan2003
>>> 28jan2003
>>>
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