Dear all,
I have a panel dataset which contains daily stock prices of 80 different firms
(variable: id). In order to calculate daily stock returns, it seems elegant to
tsset (something like tsset id Date) the dataset and to use Stata's
lag-operator (i.e. gen Return=Price/L.Price-1). However, as the dataset only
contains weekdays, the panel has gaps and the stock return over weekends
results to be missing when the lag-operator formula is applied. Of course, I
could calculate the daily returns by typing
sort id Date
by id (Date): gen double Return=Price[_n]/Price[_n-1]-1 if _n>1
But as calculating the returns like this is error prone in case of missing
values, I wonder if either there is a special (time-series) date format for
weekday data or if there is a simple way of transforming weekday data into
"daily" data.
Thanks a lot for looking into this matter.
Kind regards,
Daniel
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