Very interesting observation Nick. Thanks for this.
Rijo.
On Wed, Apr 15, 2009 at 11:28 AM, Nick Cox <[email protected]> wrote:
> What you seek are often called "spells", in this case periods in which
> prices remain constant. There are many other names too, including
> "runs".
>
> My reason for using the first term is that Stata resources are available
> under that heading:
>
> SJ-7-2 dm0029 . . . . . . . . . . . . . . Speaking Stata: Identifying
> spells
> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N.
> J. Cox
> Q2/07 SJ 7(2):249--265 (no
> commands)
> shows how to handle spells with complete control over
> spell specification
>
> tsspell from http://fmwww.bc.edu/RePEc/bocode/t
> 'TSSPELL': module for identification of spells or runs in time
> series /
> tsspell examines the data, which must be tsset time series, to /
> identify
> spells or runs, which are contiguous sequences defined / by some
> condition. tsspell generates new variables indicating / distinct
> spells,
>
> With -tsset- data and -tsspell- from SSC, a solution is
>
> tsspell P_t
> gen change = _seq - 1
>
> Nick
> [email protected]
>
> Rijo John
>
> I have a time series data set as follows.
>
> ID year P_t-1 P_t
> 1 1990 16 16
> 1 1991 16 16
> 1 1996 16 16
> 1 2005 42 42
> 1 2006 42 42
> 1 2007 42 42
> 2 1990 29 29
> 2 1991 29 29
> 2 1992 29 29
>
> Where P_t and P_t-1 represents price in year t and t-1 respectively.
> What I wish to achieve is to create a new variable "Change". This
> variable should show the number of years passed since the last change
> in P_t. In the above example the data should finally look like below.
>
> ID year P_t-1 P_t Change
> 1 1990 . 16 0
> 1 1991 16 16 1
> 1 1996 16 16 2
> 1 1997 16 16 3
> 1 2005 16 42 0
> 1 2006 42 42 1
> 1 2007 42 42 2
> 2 1990 . 29 0
> 2 1991 29 29 1
> 2 1992 29 29 2
> 2 1993 29 35 0
>
> If I do
>
> bysort ID P_t : gen Change=_n-1 I get the varible numbered but it
> doesnt sort the year. If I sort ID and year then I cant use the _n to
> generate these numbers.
>
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>
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