Return for previous year with daily data

[Alexander Hösle]

Hi everybody,

i have panel data with gaps in the time variable (weekends, holidays).
I want to calculate the return of the previous year for every given day in the dataset.
That means i want to calculate the return from e.g. the 15th of june 2003 to 16 of june 2002, which are around 260 trading days.
But the trading days differ - sometimes there are 260, 261...

* Example generated by -dataex-. To install: ssc install dataex
clear
input float date int ID float(price logret)
15341 1 6050.426           .
15342 1 6100.735  .008280506
15343 1 6454.218   .05632468
15344 1 6590.232  .020854706
15347 1 6624.453  .005179205
15348 1 6434.162 -.029146196
15349 1  6317.52 -.018294971
15350 1 6145.852  -.02754934
15351 1 6148.076 .0003619038
15354 1 5797.756  -.05866829
15355 1 5872.549  .012817914
15356 1 5408.614  -.08229601
15357 1 5641.086   .04208385
15358 1 5816.607    .0306405
15361 1 5816.607           0
15362 1 6743.359   .14784098
15363 1 6691.085 -.007782042
15364 1 7279.668    .0843092
15365 1 7436.516  .021317156
15368 1 7838.474   .05264171
end
format %td date

Does anybody have an idea how to manage this problem?

Thanks

[Phil Bromiley]

It would take a bunch of space, but after you xtset your data, you can refer to lags. You may also be able to do this with rangestat.