st: Calculating Empirical CDFs

["Yvonne Capstick" <yvonnecapstick@hotmail.com>]

Hi,

I’ve using Stata to do some returns analysis, and have converted daily 
returns into standardized normal variables, nret. I now would like to 
calculate the fraction, F(z) of nret that are less than -3, -2, -1, 0, 1, 2, 
3 and then calculate the standard deviation of F(z), using the formula 
stdev(F(z)) = (F(z))(1-F(z))/n)^0.5.

I can generate the number of observations less than each cut-off using:

forvalues z=-3/3 {
count if nret < `z'
}

and then can copy the results into Excel to generate the fractions and 
standard errors, but I can’t work out how to do this all in Stata. Whilst 
the “count” function can give me the number of observations below each 
cut-off point, I’m not sure how to save these results as a variable to do 
any calculations with them. I’m using Stata 8, which doesn’t seem to allow 
me to do a egen temp = count(x) like previous Stata versions.

Separately, I would like to calculate the standard deviation of returns for 
a particular year, e.g. egen stdev = stdev(nret), by(year), but there 
doesn’t seem to be a stdev function (or any variants).  The “summarize” 
function gives me standard deviations but doesn’t store these as a variable. 
 I’ve been able to calculate the standard deviation manually, by squaring 
the normalized returns and dividing them by the total number of observations 
less one, but thought that Stata must have a function to do this.

Any help would be much appreciated.

Thanks, YC

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