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st: Trailing 60-day standard deviation


From   "Susan Lewis" <slewis@creditsights.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Trailing 60-day standard deviation
Date   Tue, 16 Jul 2002 13:18:55 -0400

Seems I must be missing something obvious, but I can't find a compact way to calculate a trailing
60-day standard deviation. Data are in long format as follows:

	Entity 1	Day 1		Value
	Entity 1	Day 2		Value
	Entity 1	Day 3		Value
         .
	   .
	   .
	Entity 1	Day 365	Value
	Entity 2	Day 1		Value
	Entity 2	Day 2		Value
	   .
	   .
	   .
	Entity 100	Day 365	Value

Goal is to end up with:

	Entity 1	Day 1		Value		(missing)
	Entity 1	Day 2		Value		(missing)
         .
	   .
	   .
	Entity 1	Day 364	Value		SD ENTITY 1 DAYS 304-364
	Entity 1	Day 365	Value		SD ENTITY 1 DAYS 305-365
	   .
	   .
	   .
	Entity 100	Day 365	Value		SD ENTITY 100 DAYS 305-365

Any advice would be greatly appreciated.

Susan Lewis

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