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st: FW: running mean and s.d.


From   "de la Garza, Adrian" <ADelagarza@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: FW: running mean and s.d.
Date   Tue, 11 May 2004 16:40:32 -0400

Chris,
 
Can you please explain your procedure? I see that you try to use the standard deviation formula but I don't know how your forvalues loop work, especially this part:
 
`i'*meanmat[`i']^2)/(`i'-1) if _n==`i' 
 
what is that `i' multiplying meanmat[`i']^2?
 
Thank you.
Adrian
 

	-----Original Message-----
	From: Christopher F Baum [mailto:baum@bc.edu] 
	Sent: Monday, May 10, 2004 9:05 PM
	To: statalist@hsphsun2.harvard.edu
	Subject: st: running mean and s.d.
	
	

	Adrian asked how to calculate a running mean and s.d. within bygroups: e.g. 


	borrower closedate maturity mean sdev cvar 

	18 Thermal Po~s 23-Dec-02 5 5.00 0.00 0.00 

	1st Silicon (~c 19-Jun-01 7 7.00 0.00 0.00 

	AB Capital Ma~d 25-Jul-97 2 2.00 0.00 0.00 

	AB Lietuvos D~a 25-Aug-00 3 3.00 0.00 0.00 

	ABC Roma Bank~d 13-Mar-97 1 1.00 0.00 0.00 

	ABN AMRO Bank~V 6-Apr-01 1 1.00 0.00 0.00 

	ABN AMRO Bank~V 9-May-01 1 1.00 0.00 0.00 

	ABN AMRO Bank~) 25-Oct-95 3 3.00 0.00 0.00 

	AC Internatio~d 30-May-96 6 6.00 0.00 0.00 

	AC Internatio~d 29-Nov-96 5 5.50 0.71 0.13 

	AC Internatio~d 16-Jul-99 6 5.67 0.58 0.10 

	ACINDAR Indus~A 16-Jul-93 2 2.00 0.00 0.00 

	ACINDAR Indus~A 12-Nov-93 5 3.50 2.12 0.61 

	ACINDAR Indus~A 14-Feb-97 7 4.67 2.52 0.54 

	ADI Cayman Corp 21-Dec-95 5 5.00 0.00 0.00 

	AECI Ltd 19-Jul-91 4 4.00 0.00 

	0.00 

	AIG Finance (~d 12-Apr-01 3 3.00 0.00 0.00 

	ANACAFE - Aso~e 31-Aug-93 5 5.00 0.00 0.00 

	AO IrkutskEne~o 20-Apr-98 3 3.00 0.00 0.00 

	AO Moscow Cit~k 19-Mar-98 3 3.00 0.00 0.00 

	AO Siberian O~) 15-Aug-97 3 3.00 0.00 0.00 

	APP Global Fi~ 17-Apr-97 5 5.00 0.00 0.00 

	APP Global Fi~d 4-Oct-96 5 5.00 0.00 0.00 

	APP Internati~V 18-Sep-95 5 5.00 0.00 0.00 

	APP Internati~V 18-Sep-95 10 7.50 3.54 0.47 

	APP Internati~V 28-Jun-96 3 6.00 3.61 0.60 

	APP Internati~V 12-Dec-96 3 5.25 3.30 0.63 



	bys borrname:g totmat=sum(mat) 

	bys borrname: g iss=_n 

	g meanmat = totmat/iss 

	g matsq = mat^2 

	bys borrname: g sqmat = sum(matsq) 

	g sd = 0 


	su iss,meanonly 

	local maxiss = r(max) 

	forv i=2/`maxiss' { 

	        bys borrname: replace sd = (sqmat[`i'] - `i'*meanmat[`i']^2)/(`i'-1) if _n==`i' 

	        } 

	replace sd=sqrt(sd) if sd>0 

	g cv = sd/meanmat 

	l borrname issdate meanmat sd cv 


	Kit 




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