Hi everyone,
I have a sample that is composed of daily (date) share prices (prc) for a
set of companies identified by id. I wanted to calculate the daily return
for each share. In order to do this I used the tsset command:
tsset id date, daily
gen ret=prc/l.prc-1
However, given that stocks are not traded during the weekend, the gen
command generates a missing value every Monday (in the example I attach the
gap for share 1 from 10-Jan to 20-jan generates a missing return). Is there
a way of avoiding this problem, ie, that the l. operator gets the previous
time observation even if it isn't the one from the previous day?
I know that I can solve this problem by doing:
sort id date
by id: gen ret=prc/prc[_n-1]-1
But I would like to know if this can also be achieved using the l. operator.
All the best,
Nuno
id date prc ret
1 01jan2000 .8814709
1 02jan2000 .3900488 -.5575023
1 03jan2000 .0795536 -.7960419
1 04jan2000 .5782917 6.269206
1 05jan2000 .8495564 .4690796
1 06jan2000 .9873733 .1622221
1 07jan2000 .5633137 -.4294826
1 08jan2000 .9146034 .6236131
1 09jan2000 .9343885 .0216324
1 10jan2000 .4494989 -.5189379
1 20jan2000 .6151019
1 21jan2000 .278718 -.546875
1 22jan2000 .7391275 1.651883
1 23jan2000 .5166555 -.3009927
2 01jan2000 .2482313
2 02jan2000 .2797685 .1270476
2 03jan2000 .4782088 .7093018
2 04jan2000 .5516245 .1535221
2 05jan2000 .4525468 -.1796107
2 06jan2000 .8578724 .8956543
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