Ignoring weekends when using time series operators in Stata

Question

Is it possible to tell Stata to ignore Saturdays and Sundays when using time series operators such as L and F?

For example, consider this dataset:

date   price    L1.price / L2.price (currently)    L1.price / L2.price (wanted!)
tue    5        . / .                              . / .
wed    .        5 / .                              5 / .
thu    7        . / 5                              . / 5
fri    3        7 / .                              7 / .
sat                        [ignore this row]
sun                        [ignore this row]
mon    1        . / .                              3 / 7
tue    9        1 / .                              1 / 3

The third column illustrates Stata's current behavior.

I want it to behave like in the last column.

Is this possible?

Answer 1

Stata has support for business calendars. Take a look in the manual entry for datetime business calendars. They walk you through how you an make one by omitting weekends and holidays.