st: Re: Tsset for 5-day week

[Kit Baum <baum@bc.edu>]

Zaafri,

Stata does not deal with business-daily data. The gaps introduced by  
tsfill will make many commands fail. You should just  gen t = _n and  
tsset t. You can maintain a separate date variable in order to  
examine the number of calendar days between successive obs. if that  
is important. You just do not use it with tsset.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Aug 6, 2005, at 12:53 AM, Zaafri A. Husodo wrote:


> Dear Prof. Baum,
>
>
> I am working on my reserch in the area of capital market. You  
> helped me a lot during my previous research of modeling TARCH.
>
> In this time, my problem is about setting the time series for my  
> data that consists of 5-day week stock price. I have been trying to  
> tsset my data and always come up with may gaps, since my data is  
> not full 7-day week. I can not find a way to let STATA read 5-day  
> week.
>
> Please help me to solve this problem.
>
>
> Kind regards,
> Zaafri
>
>
>
> +-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
> Zaafri Husodo
> PhD Student
> School of Banking and Finance
> University of New South Wales
> mobile: 0403 12 1974
> Find my article in: http://ssrn.com/abstract=718661
> +-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+-+
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