Can't correctly convert timeseries time variable daily to monthly format in STATA 17.

[Karl Erik Helgesen]

Hello, I am a novice in stata, but I have spent several hours trying to solve this issue without any luck.

I have downloaded several monthly datasets from the Bloomberg terminal to excel files. When choosing monthly data, Bloomberg always gives you the last date in each month (31/01/1985, 28/02/1985, 29/03/1985, etc...). One of the variables is attached, the Baltic Dry Index

When importing the excel file into STATA with the time variable named "Date", I run the following code:

. tsset Date

Time variable: Date, 31jan1985 to 31jan2022, but with gaps
        Delta: 1 day

Stata automatically believes the data is daily. When I try to tell stata that the data is monthly, it gives the following warning, with a format I cannot interpret:

. tsset Date, monthly
warning: Variable Date had been formatted %td (a daily period), and you asked
         for a monthly period. Are you sure that is what you want? Format has
         been changed. Date is now formatted %tm.

Time variable: Date, 2723m7 to 3849m9, but with gaps
        Delta: 1 month

Is it it displaying month 7 in the year 2723 to month 9 in the year 3849? How do I format it to display 1985m1 to 2022m1?

[Karl Erik Helgesen]

Also, the lag operator L. does not work, neither does lead F. or differencing D.

I thought that was because of the time format being daily, but it does not work when I format it to monthly either.

When i try to get monthly return for instance, it only generates missing values:

. gen ret_Baltic = logBaltic-L.logBaltic
(445 missing values generated)

[Nick Cox]

gen MDate = mofd(Date)

tsset MDate, monthly

You can't change dates from one kind to another by changing the date display format.

SJ-12-4 dm0067 . . . . . . . . . Stata tip 113: Changing a variable's format
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. J. Cox
Q4/12 SJ 12(4):761--764 (no commands)
discusses what changing a variable's format does and does
not mean


https://www.stata-journal.com/articl...article=dm0067

[Karl Erik Helgesen]

gen MDate = mofd(Date)

tsset MDate, monthly

You can't change dates from one kind to another by changing the date display format.

SJ-12-4 dm0067 . . . . . . . . . Stata tip 113: Changing a variable's format
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. J. Cox
Q4/12 SJ 12(4):761--764 (no commands)
discusses what changing a variable's format does and does
not mean


https://www.stata-journal.com/articl...article=dm0067

This solved my problem, THANK YOU! lag/lead operator works now too.