Re: st: generate the level series from the growth rate series

[annoporci <annoporci@gmail.com>]

Nick:

Let me hasten to add that with your lines of code I do not need to  
introduce tempname variables inside the loop. The whole loop takes only 4  
lines. So my previous post is indeed to be discarded. I'll consider the  
hours I spent on this trivial issue a "learning experience."

with thanks,

---
Patrick Toche.


On Fri, 04 Jan 2013 19:36:33 +0800, Nick Cox <njcoxstata@gmail.com> wrote:

> In your code -change- is ambiguous as between -change2- and -change3-.
>
> Evidently, levels can be reconstructed from changes given an initial  
> value:
>
> . sysuse sp500
> (S&P 500)
>
> . gen close2 = close[1] + sum(change)
>
> . assert close == close2
>
> If in your real data you have _percent_ changes (assuming equally
> spaced times and no missings or omissions)
>
> gen double level = 100
> replace level = level[_n-1] * (1 + pcchange / 100) if _n > 1
>
> This generalises to panels:
>
> bysort panelid (time) : replace level = level[_n-1] * (1 + pcchange /
> 100) if _n > 1
>
> Nick
>
> Patrick Toche <annoporci@gmail.com> wrote:
>
> (2)
>
> > I will take 100 as a starting value to create an index.
> >
> > In the sp500 example, I used the value from the dataset so I could  
> > quickly
> > check that my calculations were correct, hence:
> >
> >
> >   replace close2 = 1283.27 in 1
> >
> > where 1283.27 is the value of "close[_n]" in the dataset.
>
> (1)
>
> > > > This must be a very simple question...
> > > >
> > > > I have data for percentage changes and would like to reconstruct the
> > > > levels of the variables.
> > > >
> > > > Taking the sp500 dataset, I show below that I can generate the  
> > > > one-period
> > > > difference series for the level variable "close", with and without  
> > > > tsset.
> > > > Then I try to reverse-engineer to recover the level variable "close"  
> > > > from
> > > > the difference series named "change", but I get stuck.
> > > >
> > > > sysuse sp500
> > > > gen change2 = close-close[_n-1] /// method without tsset
> > > >
> > > > gen t=_n
> > > > tsset t
> > > > gen change3 = close-L.close /// method with tsset
> > > >
> > > > gen close2 = .
> > > > replace close2 = 1283.27 in 1 /// assign the first value
> > > > replace close2 = close2[_n-1]+change /// try to recover the level
> > > >
> > > > This last step fails.
> > > >
> > > > I'd appreciate your help very much.
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/statalist-faq/
> *   http://www.ats.ucla.edu/stat/stata/


--
Patrick Toche.
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/