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Hi Good Day everyone,

I have a question concerning data grouping.

If I have daily stacked data in a workfile ( 5 years of daily stock prices across 30 different companies), is there a way to create a series that will give a listing of daily stock prices for the months of March-December (across the 5 years for all companies)? I am also trying to create a series with the daily data across all companies for Monday-Thursday for a similar reason. I have done some searching on the forum and looked though the user guide but I came across frequency conversion, which isn't exactly what I want.

If it helps, my overall aim is to do a simple hypothesis test, to test the mean of a stock's price in a particular month(s) (e.g mean of Jan-Feb price) against the mean of a stock's price in the rest of the months of the year (eg mean of March-Dec price). Needless to say I will need a distribution of prices for the specific months involved so that's why I'm trying to create a series that will list the prices of certain month(s) (and also for weekdays, for my day of the week test) then I can just use that time series to carry out my test.

My alternative is to copy and paste so I was just wondering if there is a function to generate a series based on specified months or days. I know there is a function to generate means by day/month/year etc (thanks again for that Gareth, if you happen to be reading this!)

Thanking you in advance for your valuable help.

You can create a series that is equal to the sum over companies like this: where X is the variable you want to sum over.

Once you have the sums, you can restrict the sample to be just March-December: or Mon-Thurs: (where you'll have to check those numbers are correct).

Once you have the sample set, you can find means etc...

Hi Gareth, thanks for the reply.

I'm a bit unclear as to the necessity of the sums. Will this sum my data given the crossid (@weekday etc) and variable(series name)? As an eg, are you saying "smpl if @day=1" interprets the data as if there were only mondays (assuming 1=monday) and thus will build graphs and histograms etc for only Monday dates across all firms? If yes, this will be fine!

If not, since I already have means I just need a population of prices to test it against. Thus, let me ask another question, is there a function that can reproduce the daily data for say, the months of Mar-Dec, across all firms and years, in a separate workfile? (ie this will be the population of Mar-Dec prices for all firms over the focal period and I can compare the Jan-Feb mean to this Mar-Dec mean). If this is possible it will also be of great help and will be the solution I'm looking for. Thanks again Gareth.

Regards.

Ah, I guess I wasn't sure what your original question was. I thought you wanted to sum across all companies.

If you don't want to do that - if you just want to work with certain dates, then yes, all you need to do is set the sample to be the dates you want.

Oh ok, wonderful...! Sorry for being unclear.
You said I can set up the sample for the dates I want. What if I want a particular month? Say statistics for all months of January across all firms and years? The function are the same as you mentioned?

Here's what I mean:

(Assuming 1=mon, 2=tues, 3=wed, 4=thurs, 5= fri)

Entering the function:
1)"smpl if @day=1"................................will yield statistics for Mondays across all firms (such as means of all mondays, a histogram representing all mondays etc)?
2)"smpl if @day>=1 and @day<=4".............will yield similar statistics for Mon-Thurs across all firms?

Similarly, for months,
Assuming (1=Jan, 2=Feb....12=Dec)

Then entering
3)"smpl if @month=1 and 2"............................will yield statistics for Jan and Feb?
4)"smpl if @month>=1 and @day<=4"..................will yield statistics for Mar-Dec?

Is this correct? I hope yes...!

Thanks again for the advice Gareth.

will lead to statistics for all companies for months March-December.

If you want March to July, it would be:

Ooooooooooohhhh.....!

I see, I will give it a try as soon as possible.

Thanks very very much!!

Hey Gareth, it worked!

Thanks again so much!

I was wondering though, i couldn't figure it out, what's the function to get statistics on the months of Jan-May AND Aug-Dec...given that i'll compare the statistics of those months to statistics of June and July (which should be "smpl if @month>=6 and @month<=7" right?).

Thanking you in advance.

Thank you!