Aw: st: I have daily returns and a panel: How to calculate annual returns?

["Peter Miller" <peter_miller@gmx.ch>]

Maybe I should add that I have also some other time variables such as
Month         Year         ExactDate       EventDate

- Event Date is the date on which the returns start to be available. From that day onwards, the Time variable starts to count upwards until 1095 (in the best case scenario, namely if returns for 3 years are available)

I dropped them in the first place, because I thought they are not necessary. But, maybe they are.
 
 
Gesendet: Montag, 03. Februar 2014 um 11:05 Uhr
Von: "Peter Miller" <peter_miller@gmx.ch>
An: statalist@hsphsun2.harvard.edu
Betreff: st: I have daily returns and a panel: How to calculate annual returns?
What I want to do?
I want to calculate the raw return of all my firms in the sample.
- for the first year
- second year
- third year 
- up to three years
 
How does my data look like?
 
Return         Time    Identifier
0             0       7.796e+08
.007751938    2      7.796e+08
.003846154    3      7.796e+08
-.011494253   6      7.796e+08
-.023255814   7      7.796e+08
0             8      7.796e+08
.023809524    9       7.796e+08
0             10      7.796e+08
....  
.             1074    7.796e+08  << Day 1074: Three-year period ends here
-.025806451    0       7.802e+08 << New firm
-.006622517    2       7.802e+08
.026666667     3       7.802e+08
-.032467533    6       7.802e+08
....
   

- The time variable are basically days. However, for some days (e.g. weekends), there are no daily returns available. That's why there are missing values.
- In the best case scenario, all firms have returns for 3 years (1095 days). However, there are firms with less available return data (e.g. only 723 days).
 
- The identifier "identifies" each firm uniquely in the dataset. 
 
What have I done so far?
tsset Identifier Time
xtset Identifier Time

and I got:

tsset Identifier Time
panel variable: Identifier (unbalanced)
time variable: Time, 0 to 1095, but with gaps
delta: 1 unit

xtset Identifier Time
panel variable: Identifier (unbalanced)
time variable: Time, 0 to 1095, but with gaps
delta: 1 unit

Does anyone know how to proceed further with the return calculation? Basically, the result should look like (Example):

Period Sample Size Raw Return
First year 502 10%
Second year 470 9.8%
Third year 432 11.3%
Up to three years 502 35%


Thank you.
Peter

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