Creating Windows for irregular meetings (federal meetings)

[Lisa Wilson]

Hi

I have a dataset (time series) that includes all calendar dates "date" and Fed meeting dates "federal_date". federal_date represents the date of specific irregular events that take place throughout the year.
The dates are Stata dates of the format "11jan1972, 12jan192, etc.

I want to create a WINDOW dummy variable that is equal to 1 for a window before the deferal_date.

The WINDOW will begin at the start of the second Saturday before the federal_date. For example, if the federal_date is on a Tuesday, the WINDOW will begin at the start of the Saturday that falls ten days earlier and ends the day before the federal_date.
Note that the federal_date (i.e., the meeting) can happen on any weekday.

Can someone help with this, please?

Thank you
Lisa

[Fei Wang]

Lisa, below is an example where "meeting = 1" if the Fed meets on that date (You may merge the dataset of everyday and the dataset of the Fed meeting dates to generate the following example.).

* Example generated by -dataex-. For more info, type help dataex
clear
input float(date meeting)
22281 0
22282 0
22283 0
22284 1
22285 0
22286 0
22287 0
22288 0
22289 0
22290 0
22291 0
22292 0
22293 0
22294 0
22295 0
22296 0
22297 0
22298 0
22299 0
22300 0
22301 0
22302 0
22303 0
22304 0
22305 0
22306 0
22307 0
22308 0
22309 1
22310 0
22311 0
22312 0
22313 0
22314 0
22315 0
22316 0
22317 0
22318 0
22319 0
22320 0
22321 0
22322 0
22323 0
22324 0
22325 0
22326 0
22327 0
22328 0
22329 0
22330 0
22331 0
22332 0
22333 0
22334 0
22335 0
22336 0
22337 0
22338 0
22339 0
22340 0
22341 0
22342 0
22343 0
22344 0
22345 0
22346 0
22347 0
22348 0
22349 0
22350 0
22351 0
22352 0
22353 0
22354 0
22355 0
22356 1
22357 0
22358 0
22359 0
22360 0
22361 0
22362 0
22363 0
22364 0
22365 0
22366 0
22367 0
22368 0
22369 0
22370 0
22371 0
22372 0
22373 0
22374 0
22375 0
22376 0
22377 0
22378 1
22379 0
22380 0
end
format %td date

generate day_of_week = dow(date)

sort date
generate meeting_id = sum(meeting==1) - meeting

bys meeting_id: gen window = _n <= _N-1 & _n >= _N-8-day_of_week[_N] if meeting[_N]

drop meeting_id

The variable "window" looks like

            date   meeting   day_of~k   window  
  1.   01jan2021         0          5        1  
  2.   02jan2021         0          6        1  
  3.   03jan2021         0          0        1  
  4.   04jan2021         1          1        0  
  5.   05jan2021         0          2        0  
  6.   06jan2021         0          3        0  
  7.   07jan2021         0          4        0  
  8.   08jan2021         0          5        0  
  9.   09jan2021         0          6        0  
 10.   10jan2021         0          0        0  
 11.   11jan2021         0          1        0  
 12.   12jan2021         0          2        0  
 13.   13jan2021         0          3        0  
 14.   14jan2021         0          4        0  
 15.   15jan2021         0          5        0  
 16.   16jan2021         0          6        1  
 17.   17jan2021         0          0        1  
 18.   18jan2021         0          1        1  
 19.   19jan2021         0          2        1  
 20.   20jan2021         0          3        1  
 21.   21jan2021         0          4        1  
 22.   22jan2021         0          5        1  
 23.   23jan2021         0          6        1  
 24.   24jan2021         0          0        1  
 25.   25jan2021         0          1        1  
 26.   26jan2021         0          2        1  
 27.   27jan2021         0          3        1  
 28.   28jan2021         0          4        1  
 29.   29jan2021         1          5        0  
 30.   30jan2021         0          6        0  
 31.   31jan2021         0          0        0  
 32.   01feb2021         0          1        0  
 33.   02feb2021         0          2        0  
 34.   03feb2021         0          3        0  
 35.   04feb2021         0          4        0  
 36.   05feb2021         0          5        0  
 37.   06feb2021         0          6        0  
 38.   07feb2021         0          0        0  
 39.   08feb2021         0          1        0  
 40.   09feb2021         0          2        0  
 41.   10feb2021         0          3        0  
 42.   11feb2021         0          4        0  
 43.   12feb2021         0          5        0  
 44.   13feb2021         0          6        0  
 45.   14feb2021         0          0        0  
 46.   15feb2021         0          1        0  
 47.   16feb2021         0          2        0  
 48.   17feb2021         0          3        0  
 49.   18feb2021         0          4        0  
 50.   19feb2021         0          5        0  
 51.   20feb2021         0          6        0  
 52.   21feb2021         0          0        0  
 53.   22feb2021         0          1        0  
 54.   23feb2021         0          2        0  
 55.   24feb2021         0          3        0  
 56.   25feb2021         0          4        0  
 57.   26feb2021         0          5        0  
 58.   27feb2021         0          6        0  
 59.   28feb2021         0          0        0  
 60.   01mar2021         0          1        0  
 61.   02mar2021         0          2        0  
 62.   03mar2021         0          3        0  
 63.   04mar2021         0          4        0  
 64.   05mar2021         0          5        0  
 65.   06mar2021         0          6        1  
 66.   07mar2021         0          0        1  
 67.   08mar2021         0          1        1  
 68.   09mar2021         0          2        1  
 69.   10mar2021         0          3        1  
 70.   11mar2021         0          4        1  
 71.   12mar2021         0          5        1  
 72.   13mar2021         0          6        1  
 73.   14mar2021         0          0        1  
 74.   15mar2021         0          1        1  
 75.   16mar2021         0          2        1  
 76.   17mar2021         1          3        0  
 77.   18mar2021         0          4        0  
 78.   19mar2021         0          5        0  
 79.   20mar2021         0          6        0  
 80.   21mar2021         0          0        0  
 81.   22mar2021         0          1        0  
 82.   23mar2021         0          2        0  
 83.   24mar2021         0          3        0  
 84.   25mar2021         0          4        0  
 85.   26mar2021         0          5        0  
 86.   27mar2021         0          6        1  
 87.   28mar2021         0          0        1  
 88.   29mar2021         0          1        1  
 89.   30mar2021         0          2        1  
 90.   31mar2021         0          3        1  
 91.   01apr2021         0          4        1  
 92.   02apr2021         0          5        1  
 93.   03apr2021         0          6        1  
 94.   04apr2021         0          0        1  
 95.   05apr2021         0          1        1  
 96.   06apr2021         0          2        1  
 97.   07apr2021         0          3        1  
 98.   08apr2021         1          4        0  
 99.   09apr2021         0          5        .  
100.   10apr2021         0          6        .

[Lisa Wilson]

Hi

Thanks! I have followed the code provided by Fei Wang using my dataset but unfortunately, I was not able to get the same output.

Here is part of my data using dataex

* Example generated by -dataex-. To install: ssc install dataex
clear
input float(date meeting) str17 final_fomc_meetings int fomc_date2
4383 . ""                    .
4384 . ""                    .
4385 . ""                    .
4386 . ""                    .
4387 . ""                    .
4388 . ""                    .
4389 . ""                    .
4390 . ""                    .
4391 . ""                    .
4392 . ""                    .
4393 1 "January 11 1972"  4393
4394 . ""                    .
4395 . ""                    .
4396 . ""                    .
4397 . ""                    .
4398 . ""                    .
4399 . ""                    .
4400 . ""                    .
4401 . ""                    .
4402 . ""                    .
4403 . ""                    .
4404 . ""                    .
4405 . ""                    .
4406 . ""                    .
4407 . ""                    .
4408 . ""                    .
4409 . ""                    .
4410 . ""                    .
4411 . ""                    .
4412 . ""                    .
4413 . ""                    .
4414 . ""                    .
4415 . ""                    .
4416 . ""                    .
4417 . ""                    .
4418 . ""                    .
4419 . ""                    .
4420 . ""                    .
4421 . ""                    .
4422 . ""                    .
4423 . ""                    .
4424 . ""                    .
4425 . ""                    .
4426 . ""                    .
4427 1 "February 14 1972" 4427
4428 . ""                    .
4429 . ""                    .
4430 . ""                    .
4431 . ""                    .
4432 . ""                    .
4433 . ""                    .
4434 . ""                    .
4435 . ""                    .
4436 . ""                    .
4437 . ""                    .
4438 . ""                    .
4439 . ""                    .
4440 . ""                    .
4441 . ""                    .
4442 . ""                    .
4443 . ""                    .
4444 . ""                    .
4445 . ""                    .
4446 . ""                    .
4447 . ""                    .
4448 . ""                    .
4449 . ""                    .
4450 . ""                    .
4451 . ""                    .
4452 . ""                    .
4453 . ""                    .
4454 . ""                    .
4455 . ""                    .
4456 . ""                    .
4457 . ""                    .
4458 . ""                    .
4459 . ""                    .
4460 . ""                    .
4461 . ""                    .
4462 . ""                    .
4463 1 "March 21 1972"    4463
4464 . ""                    .
4465 . ""                    .
4466 . ""                    .
4467 . ""                    .
4468 . ""                    .
4469 . ""                    .
4470 . ""                    .
4471 . ""                    .
4472 . ""                    .
4473 . ""                    .
4474 . ""                    .
4475 . ""                    .
4476 . ""                    .
4477 . ""                    .
4478 . ""                    .
4479 . ""                    .
4480 . ""                    .
4481 . ""                    .
4482 . ""                    .
end
format %td date
format %td fomc_date2

Here is the exact code used:

gen day_of_week = dow(date)
 
sort date
 
gen meeting_id = sum(meeting==1) - meeting
 
bys meeting_id: gen window = _n <= _N-1 & _n >= _N-8-day_of_week[_N] if meeting[_N]
 
sort date
tsset date
 
 
drop meeting_id

Here is the final output

* Example generated by -dataex-. To install: ssc install dataex
clear
input float date str17 final_fomc_meetings int fomc_date2 float(meeting day_of_week window)
4383 ""                    . . 6 0
4384 ""                    . . 0 0
4385 ""                    . . 1 0
4386 ""                    . . 2 1
4387 ""                    . . 3 0
4388 ""                    . . 4 0
4389 ""                    . . 5 0
4390 ""                    . . 6 0
4391 ""                    . . 0 0
4392 ""                    . . 1 0
4393 "January 11 1972"  4393 1 2 0
4394 ""                    . . 3 0
4395 ""                    . . 4 0
4396 ""                    . . 5 0
4397 ""                    . . 6 0
4398 ""                    . . 0 0
4399 ""                    . . 1 0
4400 ""                    . . 2 0
4401 ""                    . . 3 0
4402 ""                    . . 4 0
4403 ""                    . . 5 0
4404 ""                    . . 6 0
4405 ""                    . . 0 0
4406 ""                    . . 1 0
4407 ""                    . . 2 0
4408 ""                    . . 3 0
4409 ""                    . . 4 0
4410 ""                    . . 5 0
4411 ""                    . . 6 0
4412 ""                    . . 0 0
4413 ""                    . . 1 0
4414 ""                    . . 2 0
4415 ""                    . . 3 0
4416 ""                    . . 4 0
4417 ""                    . . 5 0
4418 ""                    . . 6 0
4419 ""                    . . 0 0
4420 ""                    . . 1 0
4421 ""                    . . 2 0
4422 ""                    . . 3 0
4423 ""                    . . 4 0
4424 ""                    . . 5 0
4425 ""                    . . 6 0
4426 ""                    . . 0 0
4427 "February 14 1972" 4427 1 1 0
4428 ""                    . . 2 0
4429 ""                    . . 3 0
4430 ""                    . . 4 0
4431 ""                    . . 5 0
4432 ""                    . . 6 0
4433 ""                    . . 0 0
4434 ""                    . . 1 0
4435 ""                    . . 2 0
4436 ""                    . . 3 0
4437 ""                    . . 4 0
4438 ""                    . . 5 0
4439 ""                    . . 6 0
4440 ""                    . . 0 0
4441 ""                    . . 1 0
4442 ""                    . . 2 0
4443 ""                    . . 3 0
4444 ""                    . . 4 0
4445 ""                    . . 5 0
4446 ""                    . . 6 0
4447 ""                    . . 0 0
4448 ""                    . . 1 0
4449 ""                    . . 2 0
4450 ""                    . . 3 0
4451 ""                    . . 4 0
4452 ""                    . . 5 0
4453 ""                    . . 6 0
4454 ""                    . . 0 0
4455 ""                    . . 1 0
4456 ""                    . . 2 0
4457 ""                    . . 3 0
4458 ""                    . . 4 0
4459 ""                    . . 5 0
4460 ""                    . . 6 0
4461 ""                    . . 0 0
4462 ""                    . . 1 0
4463 "March 21 1972"    4463 1 2 0
4464 ""                    . . 3 0
4465 ""                    . . 4 0
4466 ""                    . . 5 0
4467 ""                    . . 6 0
4468 ""                    . . 0 0
4469 ""                    . . 1 0
4470 ""                    . . 2 0
4471 ""                    . . 3 0
4472 ""                    . . 4 0
4473 ""                    . . 5 0
4474 ""                    . . 6 0
4475 ""                    . . 0 0
4476 ""                    . . 1 0
4477 ""                    . . 2 0
4478 ""                    . . 3 0
4479 ""                    . . 4 0
4480 ""                    . . 5 0
4481 ""                    . . 6 0
4482 ""                    . . 0 0
end
format %td date
format %td fomc_date2

I hope I get further help, thanks!

Lisa

[Lisa Wilson]

Sorry, I think I found the problem now. I need to replace the missing values for the meeting with zero. This fixes the issue.