Time variable: bcaldate, 05feb1971 to 23mar2015, but with gapsĪs expected, the issue of gaps due to weekends is now resolved. Now, I can tsset on the business date bcaldate and list the first five observations with the lag of index recalculated. In order to display business dates in a Stata date format I will apply this format to bcaldate just as I would for a regular date.Īlthough mydate and bcaldate look similar, they have different encodings. This is a way of checking that I created my calendar for the complete date range-the bofd() function returns a missing value when mydate does not appear on the specified calendar.īusiness dates have a specific display format, %tb calname, which in my case is %tbnasdaq. The assert statement verifies that all dates recorded in mydate appear in the business calendar. To create business dates using bofd(), I specified two arguments: the name of the business calendar and the name of the variable containing regular dates. assert !missing(bcaldate) if !missing(mydate) generate bcaldate = bofd("nasdaq",mydate) purpose "Converting daily financial data into business calendar dates" Once I have a business calendar, I can use this to convert regular dates to business dates, share this file with colleagues, and also make further changes to my calendar.Ģ. Later, I will show several variations of the omit command to omit other holidays. The last statement specifies to omit weekends of every month. For example, Stata’s default %td calendar uses 01jan1960 as its center. centerdate does not mean choosing a date that is in fact the center of the sample.
I picked the first date in the sample, but I could have picked any date in the range specified for the business calendar. Line 5 specifies the center of the date to be 05feb1971. Line 4 specifies the range of dates in the dataset. Line 3 specifies the display date format and is also optional. The second line is optional, but the text typed there will display if I type bcal describe nasdaq and is good for record keeping when I have multiple calenders. The first line specifies the current version of Stata I am using. Purpose "Converting daily financial data into business calendar dates" I do this using the Do-file editor, but you can use any text editor. I begin by creating nasdaq.stbcal, which will omit Saturdays and Sundays of every month. Calendars can also be created automatically from the current dataset using the bcal create command.Įvery stbcal-file requires you to specify the following four things: You can create your own calendars, use the ones provided by StataCorp, or obtain them directly from other users or via the SSC. For daily financial data, a business calendar specifies the weekends and holidays for which the markets were closed.īusiness calendars are defined in files named calname. Business calendars specify which dates are omitted. To avoid the problem of gaps inherent in business data, I can create a business calendar. I get missing data in this case because mydate is a regular date, and tsset–ing by a regular date will treat all weekends and other holidays as if they are missing in the dataset instead of ignoring them in calculations. As you may have already noticed, the dates are irregularly spaced in my dataset-the first observation corresponds to a Friday and the second observation to a Monday. However, the second observation on l.index is also missing. The first observation on l.index is missing I expect this because there are no observations prior to the first observation on index.
Time variable: mydate, 05feb1971 to 23mar2015, but with gaps I tsset these data with mydate as the time variable and then list the first five observations, along with the first lag of index. To find out more about converting string dates to numeric, you can read A tour of datetime in Stata. I use the date() function to convert the string daily date to a Stata numeric date and store the values in mydate. Index float %9.0g NASDAQ Composite Index (1971=100)ĭate is the time variable in our data, which is a string format ordered as year, month, and day. Variable name type format label variable label Louis Federal Reserve Economic Database (FRED). In nasdaq.dta, I have daily data on the NASDAQ index from Februto Mathat I downloaded from the St. I illustrate a convenient way to work with irregularly spaced dates by using Stata’s business calendars. Rather than treating these gaps as missing values, we should adjust our calculations appropriately. Using regular Stata datetime formats with time-series data that have gaps can result in misleading analysis. Time-series data, such as financial data, often have known gaps because there are no observations on days such as weekends or holidays.
0 kommentar(er)
