Hello All, I have another quick question on working with time series data, specifically turning it into event-time data. If you helped me on my last issue, then you have seen this data, but if you haven't, I have data that takes, generally, the following form. I am also attaching an excerpt of the dataset: Firm Date Ret A 1/1/11 .1 A 1/2/11 .01 A 1/3/11 .1 A 1/4/11 .2 A 1/5/11 .3 . . . B 1/1/11 .05 B 1/2/11 .1 . . . What I would like to do is, for each day, create a bunch of new variables that give the return for, let's say, the two days previous and two days after that day. So, for 1/3/11, it would look something like this: Firm Date Ret Ret_2 Ret_1 Ret1 Ret2 A 1/3/11 .1 .1 .01 .2 .3 and this would repeat for every day in the dataset. I have been trying to do this two different ways, using either the lag function, or by moving the date using the INTNX function and then doing full joins, but if I want to do more than two days surrounding the date, like 30 days on each side of the date, this is taking forever. My problem is further exacerbated by the fact that I have only weekday data, since there is no trading data for the weekends. Any help would be awesome! You guys are the best! John
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