Differencing data leaves gaps in results

[Faarez Gamieldien]

Hi guys,

I'm working with daily data and after differencing the data, I get a data set with missing values every 5th value.

I had daily stock price data and my code was:

gen Yt = d.Close_Price

Any guidance would be appreciated.

[Nick Cox]

Presumably you have data only for weekdays (also also gaps for public holdays). So, for Mondays Stata can't find data for Sundays.

The usual solution is to set up a business calendar.

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