如何将上个月最后一个观察值复制到其他观察值？

Question

In Stata

• Daily price data, permno is the company identifier
• For each permno month , I want price end of last month

tsset permno date

gen m= mofd(date)

format m %tm

* price end of each month 

bys permno m: gen prc_end= prc[_N]

* price end of the prior month

gen n=m-1

format n %tm

bys permno m: gen prc_endpm= prc_end if n==m[_n-1]

* no results

Current Data:

permno date prc m prc_end n

10026 24-Jan-19 145.8000031 2019m1 154.35 2018m12

10026 25-Jan-19 144.5500031 2019m1 154.35 2018m12

10026 28-Jan-19 140 2019m1 154.35 2018m12

10026 29-Jan-19 156.8200073 2019m1 154.35 2018m12

10026 30-Jan-19 150.5 2019m1 154.35 2018m12

10026 31-Jan-19 154.3500061 2019m1 154.35 2018m12

10026 01-Feb-19 154.8000031 2019m2 155.28 2019m1

10026 04-Feb-19 158.4400024 2019m2 155.28 2019m1

10026 05-Feb-19 158.2599945 2019m2 155.28 2019m1

10026 06-Feb-19 158.2400055 2019m2 155.28 2019m1

10026 07-Feb-19 156.4100037 2019m2 155.28 2019m1

Answer 1

To make things clearer, consider a silly example dataset.

clear 
set obs 6 
gen permno = 1 
gen date = mdy(1 + (_n > 3), real(word("1 15 31 1 15 28", _n)), 2022)
format date %td 
gen m = mofd(date)
format m %tm 
gen n = m - 1 
format n %tm 
gen price = _n 

list, sepby(permno m)

 
     +-----------------------------------------------+
     | permno        date        m         n   price |
     |-----------------------------------------------|
  1. |      1   01jan2022   2022m1   2021m12       1 |
  2. |      1   15jan2022   2022m1   2021m12       2 |
  3. |      1   31jan2022   2022m1   2021m12       3 |
     |-----------------------------------------------|
  4. |      1   01feb2022   2022m2    2022m1       4 |
  5. |      1   15feb2022   2022m2    2022m1       5 |
  6. |      1   28feb2022   2022m2    2022m1       6 |
     +-----------------------------------------------+

Now

bys permno m: gen prc_end= price[_N]

will probably work, but this would be safer:

bys permno m (date): gen prc_end= price[_N]

Things go wrong when you go

bys permno m: gen prc_endpm= prc_end if n==m[_n-1]

The effect of the by: is to confine calculations to blocks with the same permno and monthly date. [_n-1] here is legal but it refers to the previous observation in the same block of observations (usefully if there is one; if there isn't the code is still legal).

You want [_n-1] to refer to the previous month (and the same permno ) but that is not what your syntax means. Also, the example shows that, although your syntax is legal, there are no observations that satisfy your if condition, as m and n are never equal within the same block of observations.

What you want can be done with by: but you need to look across months.

This should do it:

bysort permno (m date) : gen previous = price[_n-1] if m[_n-1] == m -1 
bysort permno m (date) : replace previous = previous[1]

list, sepby(permno m)

     +----------------------------------------------------------+
     | permno        date        m         n   price   previous |
     |----------------------------------------------------------|
  1. |      1   01jan2022   2022m1   2021m12       1          . |
  2. |      1   15jan2022   2022m1   2021m12       2          . |
  3. |      1   31jan2022   2022m1   2021m12       3          . |
     |----------------------------------------------------------|
  4. |      1   01feb2022   2022m2    2022m1       4          3 |
  5. |      1   15feb2022   2022m2    2022m1       5          3 |
  6. |      1   28feb2022   2022m2    2022m1       6          3 |
     +----------------------------------------------------------+