Good Afternoon,
I attempted to create a new 1-lag variable. I succeeded, however the new variable contains numerous missing values and gaps. Can anyone advise?
Here is my do-file (go straight to the end)
I attempted to create a new 1-lag variable. I succeeded, however the new variable contains numerous missing values and gaps. Can anyone advise?
Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(deviationfromaverage for10_deviationfromaverage)
. .
-3.19 .
3.655 -3.19
25.05667 3.655
14.5425 .
4.5140004 14.5425
9.951667 4.5140004
23.28 9.951667
19.8 23.28
15.04 .
17.596 15.04
17.246365 17.596
13.559168 17.246365
14.956153 13.559168
12.947857 .
2.0246668 12.947857
12.028126 2.0246668
17.19059 .
12.105555 .
11.28842 12.105555
11.724 11.28842
-2.0114992 .
-4.651665 .
8.343159 -4.651665
9.365998 8.343159
8.319001 9.365998
27.036 8.319001
25.46889 .
29.80842 25.46889
27.508 29.80842
21.585 27.508
18.501001 21.585
15.225554 .
16.174212 15.225554
20.65579 16.174212
12.868947 20.65579
5.702222 .
11.092105 5.702222
-5.462499 11.092105
-9.178498 -5.462499
-5.430999 -9.178498
-6.068946 .
1.1044981 -6.068946
1.0519049 1.1044981
-8.238095 1.0519049
1.5066677 -8.238095
2.359474 .
-2.6984994 2.359474
9.439999 -2.6984994
8.2047615 9.439999
13.02762 8.2047615
13.314736 .
12.609 13.314736
12.63857 12.609
7.07 12.63857
12.04421 .
13.882002 12.04421
15.780953 13.882002
12.751904 15.780953
15.024763 12.751904
10.166843 .
4.6884966 10.166843
3.7152376 4.6884966
5.16714 3.7152376
24.17 5.16714
25.21211 .
25.761503 25.21211
22.974766 25.761503
21.550955 22.974766
19.037146 21.550955
14.89737 .
21.532503 14.89737
20.067144 21.532503
14.965004 20.067144
12.395 14.965004
15.245503 .
15.45952 15.245503
15.936815 15.45952
13.708185 15.936815
3.5645444 13.708185
-2.966001 .
-3.8947656 -2.966001
2.0422745 -3.8947656
-5.029996 2.0422745
-32.546818 -5.029996
-37.346 .
-30.43762 -37.346
-28.68409 -30.43762
-26.93818 -28.68409
-26.796316 .
-35.396503 -26.796316
-45.02095 -35.396503
-42.09809 -45.02095
-30.77857 -42.09809
-30.82263 .
-34.281498 -30.82263
-40.20905 -34.281498
-31.298094 -40.20905
-41.35714 -31.298094
-33.602634 .
end
Here is my do-file (go straight to the end)
Code:
*Eurodollar Futures Analysis
clear // clear all
version 15 // uses Stata version 15
set more off // runs commands at one go
capture log close //closes any preexisting logs
log using eurodollarprojectlog , replace // creates new log
import excel "C:\stata\fedhistoricaldata.xls", firstrow
duplicates list Date
count if missing(Date)
list if missing(Date)
//Should I use gen double Date1 = clock(Date, "DMY")?
drop in 3871/3883
save fedhistoricaldata , replace
clear
import excel "C:\stata\bundlefutureshistoricalpricing.xlsx", firstrow
duplicates list Date
count if missing(Date)
list if missing(Date)
drop in 2685/2698
save "C:\stata\bundlefutureshistoricalpricing.dta", replace
// drop if Date == . // deletes missing variables
merge 1:1 Date using fedhistoricaldata
* delete missing values
drop if stBU2 == .
*Start the analysis
gen cumbasispoint=sum(stBU2)
gen tendaybasispointreturn =cumbasispoint-cumbasispoint[_n-10]
*Generate volatility of daily returns
gen dayvol = stBU2 ^ 2
*Set TSSET
gen assetclass = 1
tsset assetclass Date , daily
*Partial Autocorrelation graph
pac dayvol, lag(10)
*Create daily lagged variables
foreach i of num 1/4 {
gen lag`i'_dayvol = l`i'.dayvol
}
drop if stBU2 == .
regress dayvol lag1_dayvol lag2_dayvol lag3_dayvol lag4_dayvol, robust
* create variable to measure deviation from reference point
tssmooth ma averageind =sum(stBU2), window(30 0 0) // 30 period window
gen deviationfromaverage = sum(stBU2) - averageind
gen for10_deviationfromaverage = L.deviationfromaverage // create new variable
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