Panel data: Stata sets delta as 1 day, although monthly data

[Diedrich Friedrich]

Hi,

I do have monthly data from CRSP. For my analysis I want to xtset the data:

xtset permno date

That is what Stata reveals:

panel variable: permno (unbalanced)
time variable: date, 29jan1988 to 31dec2014, but with gaps
delta: 1 day

Since I use monthly data delta should be 1 month, shouldn't it? (The format of my date variable is long%d)

How do I get a delta of 1 month? Can anyone help me?

[Nick Cox]

Dates and times are not really difficult so long as you are prepared to read the documentation.

  help dates and times

In your case it seems that you need to extract a monthly date from a daily date:

  gen mdate = mofd(date)
  format mdate %tm
  xtset permno mdate