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Re: st: Using postfile to save single observations from a dataset
From
Maarten Buis <[email protected]>
To
[email protected]
Subject
Re: st: Using postfile to save single observations from a dataset
Date
Thu, 28 Mar 2013 16:58:30 +0100
On Thu, Mar 28, 2013 at 4:37 PM, Nick Baker wrote:
> I currently have a time series dataset where the variables are the returns
> of several hundred mutual funds:
>
> Date retfund1 retfund2
> 1 2006m1 -12.38985 10.39785
> 2 2006m2 -8.219995 9.54027
> 3 2006m3 5.497518 -5.947091
> 4 2006m4 -0.9465399 -2.846269
> 5 2006m5 2.219898 -12.51931
> 6 2006m6 0.4326888 -2.443768
>
> What I want to do is to get these data into a long form with information on
> lagged returns:
>
> FundID Date ret(t-1) ret(t-2)
> 1 2006m1 . .
> 1 2006m2 -12.38985 .
> 1 2006m3 -8.219995 -12.38985
> 1 2006m4 5.497518 -8.219995
> 1 2006m5 -0.9465399 5.497518
> 1 2006m6 2.219898 -0.9465399
> 2 2006m1 . .
> 2 2006m2 10.39785 .
> 2 2006m3 9.54027 10.39785
> 2 2006m4 -5.947091 9.54027
> 2 2006m5 -2.846269 -5.947091
> 2 2006m6 -12.51931 -2.846269
>
>
> Currently, for each fund I am generating variables of lagged returns and am
> then attempting to save each observation to a seperate dataset using
> postfile within a forvalues loop over the date range.
That seems inefficient. What about this:
*------------------ begin example ------------------
// create some example data
clear all
input date retfund1 retfund2
552 -12.38985 10.39785
553 -8.219995 9.54027
554 5.497518 -5.947091
555 -0.9465399 -2.846269
556 2.219898 -12.51931
557 0.4326888 -2.443768
end
format date %tm
// reshape
reshape long retfund, i(date) j(fund)
// declare as time series data (within fund)
tsset fund date
// create the lagged variables
gen ret1 = L1.retfund
gen ret2 = L2.retfund
// look at the results
list, sepby(fund)
*------------------- end example -------------------
(For more on examples I sent to the Statalist see:
http://www.maartenbuis.nl/example_faq )
Hope this helps,
Maarten
---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany
http://www.maartenbuis.nl
---------------------------------
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