Thanks, Maarten - so if data looked like the following with the
05jan2001 price thought to be $12 on Jan 5-7, then learned to be $10
on Jan 8, can rolling be used to calculate the ma5day (uses previous 5
days)?
date price ma5day acquired expired
28dec2000 10 - 28dec2000 -
29dec2000 10 - 29dec2000 -
30dec2000 10 - 30dec2000 -
31dec2000 10 - 31dec2000 -
01jan2001 10 - 01jan2001 -
02jan2001 10 10 02jan2001 -
03jan2001 10 10 03jan2001 -
04jan2001 10 10 04jan2001 -
05jan2001 12 10 05jan2001 07jan2001
05jan2001 10 10 08jan2001 -
06jan2001 10 10.4 06jan2001 -
07jan2001 10 10.4 07jan2001 -
08jan2001 10 10 08jan2001 -
On Tue, Nov 25, 2008 at 11:15 PM, Maarten buis <[email protected]> wrote:
> --- William Bishop <[email protected]> wrote:
>
>> I have data that get updated and need to make calculations based on
>> the state of knowledge on certain dates.
>>
>> For examples, say I am doing a moving average based on stock closing
>> prices. If my state of knowledge on Wednesday is that Tuesday's
>> closing price was $10 - but then on Friday I learn (new information)
>> that Tuesday's closing price was actually $12. For calculations on
>> Wednesday and Thursday I want to use $10 as Tuesday's closing price,
>> Friday and all following days I want to use the corrected price of
>> $12.
>>
>> What is the best way to arrange the data in Stata to accomplish this?
>
> It appears to me that a basic representation of that problem can be
> handled using -rolling-, so in that case you'd have time points as
> observations (rows) and price as a variable (column).
>
> -- Maarten
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room N515
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
>
>
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