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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: mvsumm and missing observations (part 2) |

Date |
Wed, 11 Aug 2004 19:22:05 +0100 |

Yesterday you wanted the variance in a window of 5 even if there were only 3 values; today things are more reasonable! As many people have found, it is quite easy to modify a Stata program (although also quite easy to break it). You should copy the file in your OS to say -mymvsumm.ado-. Then you open it in a text editor. -doedit- will do fine. In the first line program def mvsumm, rclass you should change "mvsumm" to "mymvsumm" Below that, insert a new line like *! mymvsumm 1.0.0 Jan Soko 11 August 2004 Now search the file for the two occurrences of if `na' == `window' and delete them. Now save the file and try it out. Warning: not tested! To keep track of how many actually are in each window, you could gen mimyvar = !mi(myvar) mymvsumm mimyvar , stat(sum) gen(npresent) I suspect that there is at least one further change you will want to make, but that, as they say in the texts, is left as an exercise. Nick n.j.cox@durham.ac.uk jansoko@umich.edu > Dear Kit and Nick, > > thanks you for your prompt responses. I understand your > concern. However, I am > applying -mvsumm- in a finance setting: I need to estimate > the volatility of > stock returns using the preceding 60 months of returns. > Sometimes, I have just > 1 observation missing... and as long as this observation is > part of the > preceding 60 months, I get no estimate of the volatility for > that company's > stock (i.e. I lose 60 observations by insisting on a complete > history). I am > willing to make the tradeoff between gaining 60 observations > at the cost of a > slightly less reliable measure of volatility. > > In your answer you suggested to clone and reprogram your > original -mvsumm-. I am > not a programming whiz - do you have any pointers? > > This is a common procedure in finance - I think you may > underestimate the demand > for such a feature in -mvsumm- ;-) > > Thanks a lot!! Jan > > > > > Dear Stata users, > > > I have a similar question to Adrian's about -mvsumm-. > Unfortunately, the > > proposed solution (using -tssmooth-) doesn't work as I am > interested in > > moving > > variances, not moving averages. > > > How can I get create a variable that contains the variance > of the five > > preceding > > observations in a panel data set, even if one or two of the > those preceding > > observations are missing? And how can I specify the > minimum number of > > non-missing observations within the window? > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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