如何让指数成分股历史数据完整！

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根据这里的问题：https://bbs.pinggu.org/thread-6816710-1-1.html，(感谢) Clyde Schechter 提供作法：

1. // https://www.statalist.org/forums/forum/general-stata-discussion/general/1474659-construct-a-complete-list-of-index-components-over-different-periods
   
2. // https://bbs.pinggu.org/thread-6816710-1-1.html
   
3. clear
   
4. input str22 Indexcd str13 Chgsmp01 str19(Chgsmp02 Chgsmp03) str13 Chgsmp04
   
5. "000016" "2004-01-02" "600000" "浦发银行" "1"
   
6. "000016" "2004-01-02" "600004" "白云机场" "1"
   
7. "000016" "2004-01-02" "600006" "东风汽车" "1"
   
8. "000016" "2004-01-02" "600008" "首创股份" "1"
   
9. "000016" "2004-01-02" "600009" "上海机场" "1"
   
10. "000016" "2004-01-02" "600011" "华能国际" "1"
    
11. "000016" "2004-01-02" "600015" "华夏银行" "1"
    
12. "000016" "2004-01-02" "600016" "民生银行" "1"
    
13. "000016" "2004-01-02" "600018" "上港集箱" "1"
    
14. "000016" "2004-01-02" "600019" "宝钢股份" "1"
    
15. "000016" "2004-01-02" "600026" "中海发展" "1"
    
16. "000016" "2004-01-02" "600028" "中国石化" "1"
    
17. "000016" "2004-01-02" "600029" "南方航空" "1"
    
18. "000016" "2004-01-02" "600030" "中信证券" "1"
    
19. "000016" "2004-01-02" "600033" "福建高速" "1"
    
20. "000016" "2004-01-02" "600036" "招商银行" "1"
    
21. "000016" "2004-01-02" "600038" "哈飞股份" "1"
    
22. "000016" "2004-01-02" "600050" "中国联通" "1"
    
23. "000016" "2004-01-02" "600098" "广州控股" "1"
    
24. "000016" "2004-01-02" "600100" "清华同方" "1"
    
25. "000016" "2004-01-02" "600104" "上海汽车" "1"
    
26. "000016" "2004-01-02" "600171" "上海贝岭" "1"
    
27. "000016" "2004-01-02" "600221" "海南航空" "1"
    
28. "000016" "2004-01-02" "600350" "山东基建" "1"
    
29. "000016" "2004-01-02" "600569" "安阳钢铁" "1"
    
30. "000016" "2004-01-02" "600591" "上海航空" "1"
    
31. "000016" "2004-01-02" "600597" "光明乳业" "1"
    
32. "000016" "2004-01-02" "600601" "方正科技" "1"
    
33. "000016" "2004-01-02" "600602" "广电电子" "1"
    
34. "000016" "2004-01-02" "600609" "金杯汽车" "1"
    
35. "000016" "2004-01-02" "600637" "广电信息" "1"
    
36. "000016" "2004-01-02" "600642" "申能股份" "1"
    
37. "000016" "2004-01-02" "600643" "爱建股份" "1"
    
38. "000016" "2004-01-02" "600649" "原水股份" "1"
    
39. "000016" "2004-01-02" "600652" "爱使股份" "1"
    
40. "000016" "2004-01-02" "600664" "哈药集团" "1"
    
41. "000016" "2004-01-02" "600705" "北亚集团" "1"
    
42. "000016" "2004-01-02" "600717" "天津港"    "1"
    
43. "000016" "2004-01-02" "600795" "国电电力" "1"
    
44. "000016" "2004-01-02" "600805" "悦达投资" "1"
    
45. "000016" "2004-01-02" "600808" "马钢股份" "1"
    
46. "000016" "2004-01-02" "600811" "东方集团" "1"
    
47. "000016" "2004-01-02" "600812" "华北制药" "1"
    
48. "000016" "2004-01-02" "600832" "东方明珠" "1"
    
49. "000016" "2004-01-02" "600839" "四川长虹" "1"
    
50. "000016" "2004-01-02" "600863" "内蒙华电" "1"
    
51. "000016" "2004-01-02" "600887" "伊利股份" "1"
    
52. "000016" "2004-01-02" "600895" "张江高科" "1"
    
53. "000016" "2004-01-02" "600900" "长江电力" "1"
    
54. "000016" "2004-01-02" "600688" "上海石化" "1"
    
55. "000016" "2004-07-01" "600002" "齐鲁石化" "1"
    
56. "000016" "2004-07-01" "600005" "武钢股份" "1"
    
57. "000016" "2004-07-01" "600020" "中原高速" "1"
    
58. "000016" "2004-07-01" "600021" "上海电力" "1"
    
59. "000016" "2004-07-01" "600038" "哈飞股份" "2"
    
60. "000016" "2004-07-01" "600098" "广州控股" "2"
    
61. "000016" "2004-07-01" "600205" "山东铝业" "1"
    
62. "000016" "2004-07-01" "600221" "海南航空" "2"
    
63. "000016" "2004-07-01" "600597" "光明乳业" "2"
    
64. "000016" "2004-07-01" "600863" "内蒙华电" "2"
    
65. "000016" "2005-01-03" "600210" "紫江企业" "1"
    
66. "000016" "2005-01-03" "600500" "中化国际" "1"
    
67. "000016" "2005-01-03" "600637" "广电信息" "2"
    
68. "000016" "2005-01-03" "600652" "爱使股份" "2"
    
69. "000016" "2005-01-03" "600660" "福耀玻璃" "1"
    
70. "000016" "2005-01-03" "600664" "哈药集团" "2"
    
71. "000016" "2005-01-03" "600780" "通宝能源" "1"
    
72. "000016" "2005-01-03" "600805" "悦达投资" "2"
    
73. "000016" "2005-01-03" "600811" "东方集团" "2"
    
74. "000016" "2005-01-03" "600879" "火箭股份" "1"
    
75. "000016" "2005-07-01" "600006" "东风汽车" "2"
    
76. "000016" "2005-07-01" "600008" "首创股份" "2"
    
77. "000016" "2005-07-01" "600098" "广州控股" "1"
    
78. "000016" "2005-07-01" "600188" "兖州煤业" "1"
    
79. "000016" "2005-07-01" "600320" "振华港机" "1"
    
80. "000016" "2005-07-01" "600350" "山东基建" "2"
    
81. "000016" "2005-07-01" "600519" "贵州茅台" "1"
    
82. "000016" "2005-07-01" "600609" "金杯汽车" "2"
    
83. "000016" "2005-07-01" "600705" "北亚集团" "2"
    
84. "000016" "2005-07-01" "600797" "浙大网新" "1"
    
85. "000016" "2006-01-04" "600021" "上海电力" "2"
    
86. "000016" "2006-01-04" "600027" "华电国际" "1"
    
87. "000016" "2006-01-04" "600058" "五矿发展" "1"
    
88. "000016" "2006-01-04" "600177" "雅戈尔"    "1"
    
89. "000016" "2006-01-04" "600309" "烟台万华" "1"
    
90. "000016" "2006-01-04" "600428" "中远航运" "1"
    
91. "000016" "2006-01-04" "600569" "安阳钢铁" "2"
    
92. "000016" "2006-01-04" "600591" "上海航空" "2"
    
93. "000016" "2006-01-04" "600643" "爱建股份" "2"
    
94. "000016" "2006-01-04" "600812" "华北制药" "2"
    
95. "000016" "2006-04-24" "600002" "齐鲁石化" "2"
    
96. "000016" "2006-04-24" "600269" "赣粤高速" "1"
    
97. end
    
98. 
    
99. * dataex
    
100. 
     
101. // Clyde Schechter
     
102. //    SAVE A SEPARATE FILE FOR EACH CHGMSP01
     
103. capture program drop one_date
     
104. program define one_date
     
105.     local date = Chgsmp01[1]
     
106.     save `date', replace
     
107.     exit
     
108. end
     
109. 
     
110. runby one_date, by(Chgsmp01) status
     
111. 
     
112. //    NOW UPDATE EACH FILE ONE DATE AT A TIME
     
113. levelsof Chgsmp01, local(dates)
     
114. local n_files: word count `dates'
     
115. 
     
116. forvalues i = 2/`n_files' {
     
117.     local change_file: word `i' of `dates'
     
118.     local last_file: word `=`i'-1' of `dates'
     
119.     use `last_file', clear
     
120.     append using `change_file'
     
121.     by Chgsmp02 (Chgsmp04), sort: assert (_N == 2) == (Chgsmp04[_N] == "2")
     
122.     by Chgsmp02 (Chgsmp04): drop if _N == 2
     
123.     replace Chgsmp01 = `"`change_file'"'
     
124.     assert _N == 50
     
125.     save `"`change_file'"', replace
     
126. }
     
127. 
     
128. //    NOW APPEND THEM ALL
     
129. clear
     
130. foreach d of local dates {
     
131.     append using `d'
     
132. }
     
133. assert _N == 50*`n_files' & Chgsmp04 == "1"

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关键词：000016 600098 600664 600812 600811

该问题乃在原始资料在第一期提供完整之 50 成分股，第二期之后，只提供相对于上一期之增减成分股，没有提供所有新的 (或包括一些旧的) 成分股！

谢谢黄老师！非常感谢。也谢谢Clyde Schechter。

清、涟。 发表于 2018-12-14 10:38
谢谢黄老师！非常感谢。也谢谢Clyde Schechter。

没错，Clyde Schechter 帮过我很多忙，今年六月多，他来台湾，我跟我太太请他们家人在台湾大学吃饭，聊得很愉快！

哈哈哈。黄老师真的很热心，在论坛上看过您很多精彩的回答。