Re: st: How to aggregate daily data in Stata

[Nick Cox <njcoxstata@gmail.com>]

. help collapse

Nick

On 15 Dec 2012, at 20:46, "Christopher A. Hartwell" <christopher.hartwell@msn.com 
> wrote:
> Have a question that should be easy to figure out for the experts,  
> but I
> can't wrap my mind around it conceptually.
>
> I have daily stock market data for 28 countries over a 20-odd year  
> period.
> Some countries have 6 years of data, some have 20 years, etc.,  
> depending on
> when they started their stock markets. I want to calculate a  
> volatility
> metric by using the sum of squares of daily changes for each month  
> (that is,
> aggregate the daily squared changes for each month). Given that the  
> panel
> data has different time lengths and there are different monthly  
> periods
> (i.e. some months have 30 days, some countries have holidays in the  
> month so
> there's no data), how can I use stata to sum the squares of the daily
> changes by month?
>
> For example, I have
>
> Belarus        March-1-05    1.37
> Belarus        March-2-05    0.69
> .
> .
> .
> Belarus        March 31-05    17.33
>
> And I want to generate one variable per country per month that is  
> the sum of
> these numbers, so that I have
>
> Belarus        Mar-05        37.20
> Belarus        Apr-05        18.99
>
> Etc.
>
> Is there an easy "by x:" command that will let me do it? Or some  
> iteration
> that will allow for this?
>
> The problem I see is that I need to sum the data first by day over a
> specific month, for each month, for each country, on a dataset that is
> severely unbalanced.
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