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st: Re: rolling calendar ests


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: rolling calendar ests
Date   Wed, 23 Mar 2005 07:49:13 -0500

You should be able to do this with mvsumm if you tsset correctly, e.g. generate a sequential date variable that counts the number of trading days, and then use that variable (and your firm indicator) in tsset. Stata does not really understand business-daily data, so you have to create a fake time variable that counts trading days.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On Mar 23, 2005, at 2:33 AM, Yvonne wrote:


However, if I wish to do a rolling estimate giving the standard deviation of
the last actual rather than calendar year (e.g. if today is 22 March I want
the standard deviation from 22 Mar 04 to 21 Mar 05, not from 1 Jan 04 to 31
Dec 05), is there an easy way to do that? If I know there are 252 trading
days per year, can I just ask it to calculate the std dev of the last 252
options? I'd like to do something like

egen sigma = sd(ret[_n-252]:ret[_n-1]) if firm[_n-252] == firm[_n]

but it doesn't seem to allow anything like that.
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