I would like to calculate time series means in a panel data set as
easily as pmean() and wonder if there is a built in function or
easier way than my script below. I am computing stock market returns
for a portfolio where px=1 was set to select the included
cross-sectional identifiers, and note I also need to weight (by market
value in this case).
smpl --full
series retp= NA
## Loop over dates
loop foreach dx 38748 38776 38807
smpl --full
## Set sample dates and selected ids
smpl DATE= $dx --restrict
smpl px=1 --restrict
## Compute weighted average returns as wls intercept coefficient
wls mktval_lag ret const --quiet
series retp=$coeff(0)
endloop
Second and third thing: I imported the data from EXCEL and the dates
are numbers (1/1/1900=0), hence my loop over 38748 38776 38807 that
are month end days. Is there a easy way to get all date ids to loop
over and format as dates.
