Hello everyone!
I have every-minute data for three months and in order to use time-series, particularly cointegration analysis (versoc, vecrank functions etc.) I need to avoid gaps. First of all, the data exists only for trading dates. Secondly, the trade period is from 8:00 till 17:30. Accordingly the date is in DMY hm format.
I want to create business calendar in order to lag refering to the previous TRADING day and to the previous AVAILABLE TRADING TIME.
I am not an experienced STATA user, so would appreciate a very detailed description.
Thank you in advance!
I have every-minute data for three months and in order to use time-series, particularly cointegration analysis (versoc, vecrank functions etc.) I need to avoid gaps. First of all, the data exists only for trading dates. Secondly, the trade period is from 8:00 till 17:30. Accordingly the date is in DMY hm format.
I want to create business calendar in order to lag refering to the previous TRADING day and to the previous AVAILABLE TRADING TIME.
I am not an experienced STATA user, so would appreciate a very detailed description.
Thank you in advance!