st: Generating an index variable with addition and deletion of companies every month

[David Ashcraft <ashcraftd@rocketmail.com>]

Hi Statalist, I am trying to construct a market weighted index wherein every month there is a deletion or subtraction of some securities. I am following S&P Dow Jones mathematics as per Equation 8 on the page 8 of the following document:
http://www.spindices.com/documents/index-policies/methodology-index-math.pdf


My problem is every month, I have some companies added to the index and other are deleted implying that I must adjust my divisor. I am confused with how can I code this.

I am coding this as below but this capture only for one period but I have companies that 

tabulate snp

       snp |      Freq.     Percent        Cum.
------------+-----------------------------------
          0 |     18,642       37.28       37.28
          1 |     31,366       62.72      100.00
------------+-----------------------------------
      Total |     50,008      100.00


tsset id date1

bys id: egen mtcap=sum(mv)
gen lag_snp=L.snp
//identify companies deleted from index//
gen dum=0
replace dum=1 if lag_snp==snp

The last line is my attempt to identify those companies whether added or deleted in a given month but this does not work for calculation of divisor since companies can be out for quite some time and in that case both coule be equal to zero and dum==1.

Can someone please guide me through,
Regards

David Ashcraft

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