Dummy variable UP/Down

[Sima77]

Hi, I have multiple time series of stock returns, I want to create dummy variables that are 1 when the return increase and 0 when the return decrease. The problem am facing when the returns is the same for several months. For instance, the returns for the following 7 months are 3,4,2,5,5,5,5, I want the dummy variable to be 1 for the last 4 months and not only for the fourth month. Please I would appreciate any help.

[EViews Gareth]

When you create your dummy variable, instead of using ">", use ">=" instead.

[Sima77]

Thanks for reply. I used this command: series dummy=@recode(y>=y(-1),1,0), but I still have the same problem.Please can you advice?

[EViews Gareth]

It works.

Code: Select all

wfcreate u 7
series y
y.fill 3,4,2,5,5,5,5
series dummy = @recode(y>=y(-1),1,0)
show dummy


[Sima77]

Sorry, It is my bad that I did not well explain what I want to do. I attached an Excel file in which I typed the Dummy that I want. Please can you help which code can do that? Much appreciated,

[Sima77]

I would appreciate it if I get a reply to my question.

[startz]

Gareth's suggestion does what you ask. In your file you have the dummy stay zero if the return stays constant after it first falls. Is that what you want?

[Sima77]

Yes, I want the dummy to stay constant (0 or 1) if the return stays constant. Please can you help?

[EViews Matt]

Hello,

Building on Gareth's example, a self-referential expression lets you maintain the previous dummy value in the case that the return is constant.

Code: Select all

series dummy = @recode(y>y(-1),1,@recode(y<y(-1),0,@nan(dummy(-1),1)))


[Sima77]

Amazing, this is exactly what I want. Thanks.