Many thanks, that already gets me much closer.
Unfortunately though a problem remains when I run this:
Since I have very many different assets, filling in all assets in all
periods turned out to kill my computer, i.e. it just got hung up for
half an hour before I exited, and I think that if I had let it
complete the task the resulting dataset would likely have been too
large as well.
Do you have an idea how I could fill in only those observations which
I actually need: Namely for each fund-asset pair I would like to fill
in a period only if the respective pair was observed in the previous
or subsequent period?
Thanks,
Chris
2009/7/24 Martin Weiss <[email protected]>:
>
> <>
>
> Here is an example for "Stata Chris" using -fillin-
>
>
> *************
> clear*
> set obs 5
>
> // fund id
> gen fundid=_n
> lab var fundid "Fund ID"
>
> // expand to 4 of time periods
> expand 4
> bys fundid: gen time=_n
>
> // 3 assets
> expand 3
> bys fundid time:/*
> */ gen asset=_n
>
> // generate value and holdings
> gen quantity=/*
> */ rnormal()
> gen value=/*
> */ 100*rnormal()
>
> // inducing missings
> drop if runiform()<0.1
>
> /*
> recover "full"
> dataset with -fillin-
> */
>
> fillin fundid time asset
>
> //whenever filled in:
> //really zero
> //important to distinguish
> //from "real" missings
> replace quantity=0 if _fillin==1
>
> //get the stock of holdings
> bys fundid asset (time): /*
> */ gen holding=sum(quantity)
>
> compress
> list fundid time asset /*
> */ quantity holding, noobs /*
> */ sepby(fundid asset)
>
> //get rid of aux var
> drop _fillin
> *************
>
>
>
> HTH
> Martin
>
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von Stata Chris
> Gesendet: Freitag, 24. Juli 2009 17:03
> An: [email protected]
> Betreff: st: For each fund-asset pair I have observations on some periods,
> and want have them on each possible period...
>
> Hi Statalisters,
>
> I have the following challenge:
>
> I have a dataset that gives me for each fund-asset-period triple the
> quantity and value of holdings (i.e. how much of asset j did fund i
> hold in period t).
> >From this, I have for each such triple generated the flow (i.e. how
> much did the fund buy or sell of a certain asset) from last period
> until now.
>
> The problem is that the original dataset does not list holdings or size
> zero.
> Consequence: If a fund held say 500 units of an asset and then sold
> all of these, the respective fund-asset-period observation for the
> next period does not exist, so when I compute the flow I get a missing
> observation, although it should say flow=-500.
> Analogously, if the fund has bought 500 units of an assets after
> previously holdings of zero, I would like to have Stata tell me that
> the flow equals +500, but instead it will tell me that the flow is
> missing.
>
> So I figured the best thing to do, to be on the safe side, would be to
> make sure that for each fund-asset pair I have observations on all
> periods, rather than just on those for which holdings were listed.
>
> In upshot: My data are currently in long form, with each observation
> being a unique fund-asset-period triple. However, for each fund-asset
> pair I have observations on some but not all of up to 60 periods. The
> question is: How can I add observations such that for each pair there
> is an observation on each of the 60 periods (some of which may only
> have missing values, but they need to be listed)?
>
> Many thanks for your help!
>
> Chris
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>
>
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