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[面板数据求助] 当月收益偏度=过去六个月日收益偏度，每个月交易天数不同 [推广有奖]

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井筒4 发表于 2020-5-15 18:12:45 |AI写论文

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求助！我做的数据是公司+日期的面板数据，需要求出每个公司每个月的偏度，这个偏度=过去六个月交易日收益偏度（大概就是差不多120天日收益的偏度，但是每个月的交易天数不同）
我现在用的方法是：
bysort Stkcd: gen no = _n

rangestat (skewness) Dretwd , interval ( no -180 -1) by(Stkcd)

这个方法的问题是：只能用固定天数的循环，但是我想要的是过去六个月的数据，因为每个月的交易天数不一样，所以不能用固定的天数（例如180），请问各位老师我该怎么处理呢？


以下为数据，因为日交易数据太多了，所以这里面只有股票代码为000001的，实际上有很多不同的股票代码
  1. [/size]
  2. [size=14px]* Example generated by -dataex-. To install: ssc install dataex[/size]
  3. [size=14px]clear[/size]
  4. [size=14px]input str12(Stkcd Trddt) double Dretwd byte(Markettype date) float no double Dretwd_skewness[/size]
  5. [size=14px]"000001" "2008-07-01" -.030005 4  1   1                     .[/size]
  6. [size=14px]"000001" "2008-07-02" -.002667 4  2   2                     .[/size]
  7. [size=14px]"000001" "2008-07-03"  .013904 4  3   3                     0[/size]
  8. [size=14px]"000001" "2008-07-04"  .003692 4  4   4   -.28956620784399173[/size]
  9. [size=14px]"000001" "2008-07-07"   .06989 4  7   5    -.7049711746386803[/size]
  10. [size=14px]"000001" "2008-07-08" -.008841 4  8   6       .74969018143708[/size]
  11. [size=14px]"000001" "2008-07-09"  .055005 4  9   7    1.0297926116202176[/size]
  12. [size=14px]"000001" "2008-07-10" -.001879 4 10   8     .5180668863867374[/size]
  13. [size=14px]"000001" "2008-07-11" -.016471 4 11   9      .707065854762513[/size]
  14. [size=14px]"000001" "2008-07-14"  .011962 4 14  10     .8772939308466056[/size]
  15. [size=14px]"000001" "2008-07-15" -.061466 4 15  11     .8953060470812294[/size]
  16. [size=14px]"000001" "2008-07-16" -.052897 4 16  12    .28061178790356994[/size]
  17. [size=14px]"000001" "2008-07-17" -.007979 4 17  13      .305035604953259[/size]
  18. [size=14px]"000001" "2008-07-18"  .039678 4 18  14    .35746760085153484[/size]
  19. [size=14px]"000001" "2008-07-21"  .025786 4 21  15    .18468867046882362[/size]
  20. [size=14px]"000001" "2008-07-22"  .002514 4 22  16    .06353456005931256[/size]
  21. [size=14px]"000001" "2008-07-23" -.009529 4 23  17    .06561895059421334[/size]
  22. [size=14px]"000001" "2008-07-24"  .053165 4 24  18    .12854971871486748[/size]
  23. [size=14px]"000001" "2008-07-25"  .013462 4 25  19    .04756684514869299[/size]
  24. [size=14px]"000001" "2008-07-28"  .034156 4 28  20   .007785706289395484[/size]
  25. [size=14px]"000001" "2008-07-29" -.025229 4 29  21   -.09043447563919368[/size]
  26. [size=14px]"000001" "2008-07-30"  .013176 4 30  22   .008320293027201808[/size]
  27. [size=14px]"000001" "2008-07-31" -.033906 4 31  23    -.0251489678839434[/size]
  28. [size=14px]"000001" "2008-08-01"  .051923 4  1  24   .057555984249107864[/size]
  29. [size=14px]"000001" "2008-08-04" -.019653 4  4  25 -.0029487803765230356[/size]
  30. [size=14px]"000001" "2008-08-05" -.020979 4  5  26    .07126206163047524[/size]
  31. [size=14px]"000001" "2008-08-06" -.007143 4  6  27    .14223176693250206[/size]
  32. [size=14px]"000001" "2008-08-07"  .004796 4  7  28    .18018385862040096[/size]
  33. [size=14px]"000001" "2008-08-08" -.045346 4  8  29    .17846775593717962[/size]
  34. [size=14px]"000001" "2008-08-11"    -.035 4 11  30    .19901171173053978[/size]
  35. [size=14px]"000001" "2008-08-12"        0 4 12  31    .25489102094399363[/size]
  36. [size=14px]"000001" "2008-08-13" -.000518 4 13  32     .2605303727387804[/size]
  37. [size=14px]"000001" "2008-08-14"        0 4 14  33    .26759522375158545[/size]
  38. [size=14px]"000001" "2008-08-15"  .016071 4 15  34    .27299245799921307[/size]
  39. [size=14px]"000001" "2008-08-18" -.029082 4 18  35    .23272289713617117[/size]
  40. [size=14px]"000001" "2008-08-19"  .011561 4 19  36     .2838529268864375[/size]
  41. [size=14px]"000001" "2008-08-20"  .083117 4 20  37    .25583020938164897[/size]
  42. [size=14px]"000001" "2008-08-21" -.030695 4 21  38     .4314583000335025[/size]
  43. [size=14px]"000001" "2008-08-22" -.015339 4 22  39      .472529059463643[/size]
  44. [size=14px]"000001" "2008-08-25"   .01206 4 25  40     .5105194075762362[/size]
  45. [size=14px]"000001" "2008-08-26" -.006455 4 26  41    .49050045460569613[/size]
  46. [size=14px]"000001" "2008-08-27" -.002499 4 27  42     .5135621887034277[/size]
  47. [size=14px]"000001" "2008-08-28"  .005511 4 28  43     .5282449300176693[/size]
  48. [size=14px]"000001" "2008-08-29"  .006477 4 29  44     .5245718023905613[/size]
  49. [size=14px]"000001" "2008-09-01" -.061386 4  1  45     .5187834640181697[/size]
  50. [size=14px]"000001" "2008-09-02" -.013186 4  2  46     .4159341789805863[/size]
  51. [size=14px]"000001" "2008-09-03" -.028327 4  3  47     .4440956154798348[/size]
  52. [size=14px]"000001" "2008-09-04"  .006601 4  4  48    .47952792938937794[/size]
  53. [size=14px]"000001" "2008-09-05" -.003279 4  5  49    .46903024707594415[/size]
  54. [size=14px]"000001" "2008-09-08" -.030702 4  8  50     .4790030299471265[/size]
  55. [size=14px]"000001" "2008-09-09"  -.01414 4  9  51     .5102391108845633[/size]
  56. [size=14px]"000001" "2008-09-10" -.013196 4 10  52     .5360487656051888[/size]
  57. [size=14px]"000001" "2008-09-11" -.063953 4 11  53     .5601809961192687[/size]
  58. [size=14px]"000001" "2008-09-12" -.006832 4 12  54     .4645996369255631[/size]
  59. [size=14px]"000001" "2008-09-16" -.100063 4 16  55      .475719873027149[/size]
  60. [size=14px]"000001" "2008-09-17"  -.09173 4 17  56     .0741673875961879[/size]
  61. [size=14px]"000001" "2008-09-18"  .017598 4 18  57   -.08314278336051202[/size]
  62. [size=14px]"000001" "2008-09-19"       .1 4 19  58    -.1134811365671933[/size]
  63. [size=14px]"000001" "2008-09-22"  .099795 4 22  59    .16703050464914906[/size]
  64. [size=14px]"000001" "2008-09-23"  -.06215 4 23  60    .32450754840501467[/size]
  65. [size=14px]"000001" "2008-09-24" -.025845 4 24  61    .32658493328154437[/size]
  66. [size=14px]"000001" "2008-09-25"  .041497 4 25  62    .35180481767680516[/size]
  67. [size=14px]"000001" "2008-09-26" -.020901 4 26  63    .31244744990487083[/size]
  68. [size=14px]"000001" "2008-10-06" -.072715 4  6  64    .33372158951905107[/size]
  69. [size=14px]"000001" "2008-10-07"  .006475 4  7  65    .31121021286312267[/size]
  70. [size=14px]"000001" "2008-10-08" -.056469 4  8  66     .3007307171003166[/size]
  71. [size=14px]"000001" "2008-10-09" -.015909 4  9  67     .3164791633068201[/size]
  72. [size=14px]"000001" "2008-10-10" -.072363 4 10  68    .33044364225902095[/size]
  73. [size=14px]"000001" "2008-10-13"  .100415 4 13  69    .31653974303241145[/size]
  74. [size=14px]"000001" "2008-10-14" -.006033 4 14  70     .4072678008068835[/size]
  75. [size=14px]"000001" "2008-10-16" -.059939 4 16  71    .41169879332641823[/size]
  76. [size=14px]"000001" "2008-10-17"  .041162 4 17  72    .42236628182384645[/size]
  77. [size=14px]"000001" "2008-10-20"  .052713 4 20  73    .38726568797648525[/size]
  78. [size=14px]"000001" "2008-10-21" -.022091 4 21  74    .35417040725128157[/size]
  79. [size=14px]"000001" "2008-10-22" -.009789 4 22  75    .37178747421932545[/size]
  80. [size=14px]"000001" "2008-10-23" -.046388 4 23  76    .37953377301903085[/size]
  81. [size=14px]"000001" "2008-10-24"  -.04067 4 24  77     .4006632881171641[/size]
  82. [size=14px]"000001" "2008-10-27" -.099751 4 27  78     .4227871731499037[/size]
  83. [size=14px]"000001" "2008-10-28"  .060942 4 28  79    .32963873078937717[/size]
  84. [size=14px]"000001" "2008-10-29" -.040905 4 29  80     .3061566650097159[/size]
  85. [size=14px]"000001" "2008-10-30"  .026316 4 30  81    .32813647402424084[/size]
  86. [size=14px]"000001" "2008-10-31"  -.03497 4 31  82      .303934829764632[/size]
  87. [size=14px]"000001" "2008-11-03"  .003584 4  3  83    .32441884015625877[/size]
  88. [size=14px]"000001" "2008-11-04" -.005952 4  4  84    .31797770776058226[/size]
  89. [size=14px]"000001" "2008-11-05"   .05988 4  5  85     .3199055620332617[/size]
  90. [size=14px]"000001" "2008-11-06" -.047458 4  6  86     .2977282828273022[/size]
  91. [size=14px]"000001" "2008-11-07"  .042705 4  7  87      .317578256517717[/size]
  92. [size=14px]"000001" "2008-11-10"  .097838 4 10  88    .29008370942993483[/size]
  93. [size=14px]"000001" "2008-11-11" -.013472 4 11  89      .334540641912597[/size]
  94. [size=14px]"000001" "2008-11-12"  .027311 4 12  90     .3434818457063119[/size]
  95. [size=14px]"000001" "2008-11-13"  .051125 4 13  91     .3224523627747995[/size]
  96. [size=14px]"000001" "2008-11-14"  .033074 4 14  92     .2963630458879477[/size]
  97. [size=14px]"000001" "2008-11-17"  .036723 4 17  93     .2737134706218619[/size]
  98. [size=14px]"000001" "2008-11-18" -.082652 4 18  94    .25027850038146193[/size]
  99. [size=14px]"000001" "2008-11-19"  .085149 4 19  95    .23090352691686114[/size]
  100. [size=14px]"000001" "2008-11-20" -.040146 4 20  96    .23778322776972732[/size]
  101. [size=14px]"000001" "2008-11-21" -.027567 4 21  97     .2565449240013944[/size]
  102. [size=14px]"000001" "2008-11-24" -.043988 4 24  98    .27223721085813507[/size]
  103. [size=14px]"000001" "2008-11-25"  -.01227 4 25  99     .2903161156708073[/size]
  104. [size=14px]"000001" "2008-11-26" -.016563 4 26 100      .297733127371244[/size]
  105. [size=14px]end[/size]
  106. [size=14px]
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关键词：generated skewness generate Interval install

相关帖子

沙发
黃河泉 在职认证  发表于 2020-5-16 08:11:15
1. 请再练习一下 dataex 之用法，你的资料展示有问题。2. 请试试
  1. gen ymd = date(Trddt,"YMD")
  2. gen ym = mofd(ymd)
  3. format ym %tm
  4. rangestat (skewness) Dretwd, interval (ym -6 -1) by(Stkcd)
复制代码
藤椅
井筒4 发表于 2020-5-16 11:32:26
黃河泉 发表于 2020-5-16 08:11
1. 请再练习一下 dataex 之用法，你的资料展示有问题。2. 请试试
感谢黄老师！这个代码很有用！我会注意dataex的用法的
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