What exactly does ID represent, and how does it affect the stock and its returns (if at all)?
Jean Salvati
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Mark Schaffer
> Sent: Tuesday, November 22, 2005 10:15 AM
> To: [email protected]
> Cc: [email protected]
> Subject: Re: st: RE: Timevarying IDs in a panel dataset
>
> Nick,
>
> > It is not clear that these identifiers are really
> identifiers. Or, to
> > put it another way, how can this problem be solved at all?
> >
> > As I understand it, you may need a new identifier based on a
> > combination of now and the next period. So, any stock that is 3 now
> > and 2 next period cannot be the same item as one that is 3
> and 3, any
> > more than a person who is male now and female next week can be the
> > same person as someone with more stable gender.
>
> But a person who has a maiden name last week and a married
> name this week is the same person. This is what Daniel has,
> more or less.
>
> --M
>
> > But does a combination of now and next uniquely identify stock?
> >
> > Nick
> > [email protected]
> >
> > Daniel H�chle
> >
> >> I do have a panel of several thousand stocks. Each stock has an id
> >> called ID_now. However, there is a problem: The stock's id
> may change
> >> over time. Therefore, I do have variable ID_nextperiod
> which contains
> >> the stock's id in the next period. The data looks like this:
> >>
> >> Date ID_now ID_nextperiod Price_now
> >> 1 1 1 100
> >> 2 1 1 110
> >> 3 1 1 105
> >> 4 1 1 100
> >> 3 2 2 22
> >> 4 2 2 27
> >> 1 3 3 20
> >> 2 3 2 25
> >> 1 4 5 60
> >> 2 5 5 65
> >> 3 5 5 67
> >> ...
> >>
> >> What I would like to do is calculating the discrete stock
> returns. If
> >> the stock's ID would not change over time this could be achieved
> >> (after tssetting the dataset) by simply typing
> >>
> >> . PriceRet = Price_now / L.Price_now - 1
> >>
> >> However, I do not have any idea how to calculate the
> discrete stock
> >> returns in case of changing IDs. Any ideas would be appreciated.
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS tel
> +44-131-451-3494 / fax +44-131-451-3294
> email: [email protected]
> web: http://www.sml.hw.ac.uk/ecomes
>
>
>
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*
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