Hello.

I am currently running a project where I wish to create a price index on the returns of collectible assets using data from auction websites.

Using panel data: item_ID, sale_date, price - In total I have collected 28,000 unique sales across 5,000 different items. Each sale observation has at least one corresponding sale of the identical asset at another date. In most cases the item has only been sold twice, but in some cases it has been sold over 300 times.

Is there an approach on STATA that will allow me to quickly take the log price difference between a series of sales? e.g. Getting 3 returns for sale1 & sale2, sale2 & sale3, sale3 & sale4 for each item.

I was initially considering a Repeat Sales Regression methodology as proposed by Bailey, Muth, Nourse (1963) but this approach is proving difficult to implement for circumstances in which I have more than 2 sales observations. Attached is a .do file which in the right lines of what I wish to do.

Thank you in advance!

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