Ch 2.

Time data
P_data2_1.dta
1. Generate time data
• by company, sort: gen year=1929+_n

• by company, sort: gen quarter=yq(1929, 4)+_n

• format quarter %tq

1. Generate time data
• by company, sort: gen month=ym(1929, 12)+_n

• format month %tm

• by company, sort: gen day=mdy(12,31,1929)+_n

• format day %td

1. Generate time data

• 시간 갭이 있는 시간변수 생성

• by company, sort: gen year2=1920+10*_n

 1. Generate time data: tsmktim

• findit tsmktim

>>> 시간 갭이 있는 시간변수는 만들 수 X

• tsmktim year1, start(1930) i(company)

>>> Company 별로 1930~1939년 연도변수를 생성

1. Generate time data: tsmktim

• tsmktim quarter1, start(1930q1) i(company)

1. Generate time data: tsmktim

• tsmktim month1, start(1930m1) i(company)

1. Generate time data: tsmktim

• tsmktim day1, start(01jan1930) i(company)

P_data2_2.dta
2. Frequency

• From daily data to Monthly data

• gen dm=mofd(date)

• format dm %tm

• list data dm in 15/25

2. Frequency

• From daily data to quarterly data: qofd( )

• From daily data to yearly data: yofd( )

2. Frequency

• From monthly data to daily data

• gen day1=dofm( )
2. Frequency

• From monthly data to daily data

• gen day1=dofm(dm)

• format day1 %td

• list date dm day1 in 15/24

2. Frequency

• From quarterly data to daily data: dofq( )

• From yearly data to daily data: dofy( )

2. Frequency

• From monthly data to quarterly data

• gen mq=qofd(dofm(dm))

• format mq %tq

• list dm mq in 56/64
2. Frequency

• From daily data to monthly data

• gen dm1=mofd(date)

• format dm1 %td

• collapse (mean) dowclose, by(dm1)

P_data2_3.dta
2. Frequency
• From monthly data to quarterly data

• gen m_q=qofd(dofm(month))

• format m_q %tq

• collapse (sum) invest mvalue kstock, by(company m_q)

2. Frequency

• From monthly data to quarterly data

• gen m_q=qofd(dofm(month))
2. Frequency

• From monthly data to quarterly data

• gen m_q=qofd(dofm(month))

• format m_q %tq

2. Frequency
• From monthly data to quarterly data

• gen m_q=qofd(dofm(month))

• format m_q %tq

• collapse (sum) invest mvalue kstock, by(company m_q)

P_data2_4.dta
2. Frequency

• Generate day, month, year data

• gen date1=dofm(dm)

• format date1 %td

2. Frequency

• gen year1=year(date1)

• gen month1=month(date1)

• gen week1=week(date1)

• gen day1=day(date1)
2. Frequency

• gen jan_dum=(month1==1)
2. Frequency

• gen jan_dum1=(month(dofm(dm))==1)

• compare jan_dum jan_dum1

2. Frequency

• Combine day, month, year data

• gen date2=mdy(month1, day1, year1)

• format date2 %td

2. Frequency

• 요일 변수: day of week

>>>> 0: 일요일, 1: 월요일,….6: 토요일

• gen week_d=dow(date1)
3. egen

• ssc install egenmore, replace

P_data2_2.dta
3. egen: bom()

• Beginning of month

• egen bom1=bom(1, 1953)

• format bom1 %td

3. egen: bom()

• egen bom2=bom(2, 1953), work format(%td)

• Work

-지정한 연도와 월의 첫째 날이 휴일이면 그 다음날을

변수로 만드는 기능
3. egen: bomd()

• egen bom3=bomd(date), format(%td)

• 일별주기 시간변수를 이용하여 해당 월의 첫

째 날을 변수로 만드는 함수

• (date: 일별주기 시간변수)

3. egen: bomd()

• gen ela_bom=date-bom3

• list date ela_bom in 17/27

• 며칠이 지났는지
3. egen: eom()

• 지정한 연도와 월의 마지막 날짜를 변수로 생성

• egen eom1= eom(1, 1953), format(%td)

3. egen: eomd()

• 지정된 일변주기 변수의 해당 연도와 월의 마지

막 날을 변수로 지정

• egen eom2= eomd(date), format(%td)

3. egen: dayofyear()

• 일별주기 변수를 그 해의 1월 1일을 기준으로 경

과기간 변수 생성

• egen day1= dayofyear(date)

3. egen: dayofyear()

• egen day2= dayofyear(date), month(3)

• list date day1 day2 in 36/42

• month(3) option

-3월 1일부터 며칠이 지났는지 계산

P_data2_5.dta
3. egen: max()
• 최대값 변수 생성

• egen maxtodate= record(invest), by(company) order(time)

• by company, sort: egen max1=max(invest)

• list company time invest maxtodate max1 in 1/12

3. egen: min()
• 최소값 변수 생성

• egen mintodate= record(invest), by(company) order(time) min

• by company, sort: egen min1=min(invest)

3. egen: min()
• egen mintodate1= record(invest), by(company) order(time)

• by company, sort: egen min11=min(invest)

• list company time invest mintodate1 min11 in 1/12

P_data2_6.dta
4. Time operator
• lag: 과거값

• lead: 미래값

• difference: 차분
4. Time operator: lag
• tsset hhid year

• gen total_income1=L.total_income

• by hhid, sort: gen total_income11=total_income[_n-1]

4. Time operator: lag
• tsset hhid year

• gen total_income2=L2.total_income

• by hhid, sort: gen total_income22=total_income[_n-2]

4. Time operator: lead
• tsset hhid year

• gen total_income3=F.total_income

• by hhid, sort: gen total_income33=total_income[_n+1]

 4. Time operator: lead
• reg house_price i.hsex hage i.hedu L.total_income F.total_income
 4. Time operator: lead
• reg house_price i.hsex hage i.hedu L.total_income F.total_income

• reg house_price i.hsex hage i.hedu L(1/3).total_income

F.total_income

• reg house_price i.hsex hage i.hedu L(-3/3).total_income

F.total_income
 4. Time operator: lead
• reg house_price i.hsex hage i.hedu L(1/3).(total_income debt)
4. Time operator: lead
• gen total_income4=L(1/3).total_income › › › › › › error
4. Time operator: lead
• xtreg house_price i.hsex hage i.hedu L.total_income

F.total_income, re

• xtreg house_price i.hsex hage i.hedu L.total_income

F.total_income, fe
P_data2_7.dta
4. Time operator: lag
• tsset hhid year

• gen fin_asset1=L.fin_asset

• by hhid, sort: gen fin_asset11= fin_asset[_n-1]

4. Time operator: lag
• tsset hhid year

• gen fin_asset2=F.fin_asset

• by hhid, sort: gen fin_asset22= fin_asset[_n+1]

4. Time operator: lag
• list 변수…… if hhid==12
P_data2_8.dta
4. Time operator: 시간 갭 존재
• tsset date

• gen dowclose11=L.dowclose

>>>>>>>>???
4. Time operator: 시간 갭 존재
• tsset date

• gen time1=_n

• tsset time1

• gen dowclose1=L.dowclose
P_data2_9.dta
4. Time operator: difference
• tsset company quarter

• gen dinvest=D.invest

• by company, sort: gen dinvst1=invest-invset[_n-1]

4. Time operator: difference
• gen d2invest=D2.invest
4. Time operator: seasonal difference
• gen sinvest=S.invest

• gen s2invest=S2.invest
4. Time operator: diff&lag 동시에
• gen stock1=LD.stock

• gen stock2=DL.stock