Hello together,
for my thesis I have a dataset which contains stock prices over a period of 28 years. My time variable has a daily format but because of Saturdays, Sundays and holydays gaps occur.
Therefore the lag operater produces variables with missing values. I've thought about just using [_n-1] as I have all observations for all stocks in the given time period. This is what it looks like when i try to generate laged variables. i_totm_lag2 equals the [_n-1] variable and i_totm_lag represents the lag operator.
Thank you in advance!
for my thesis I have a dataset which contains stock prices over a period of 28 years. My time variable has a daily format but because of Saturdays, Sundays and holydays gaps occur.
Therefore the lag operater produces variables with missing values. I've thought about just using [_n-1] as I have all observations for all stocks in the given time period. This is what it looks like when i try to generate laged variables. i_totm_lag2 equals the [_n-1] variable and i_totm_lag represents the lag operator.
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input int date double i_totm float(i_totm_lag i_totm_lag2) 10955 276.32 . . 10959 280.93 . 276.32 10960 280.76 280.93 280.93 10961 278.55 280.76 280.76 10962 275.89 278.55 278.55 10965 276.98 . 275.89 10966 273.86 276.98 276.98 10967 271.94 273.86 273.86 10968 272.81 271.94 271.94 10969 266.25 272.81 272.81 end format %td date
Thank you in advance!
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