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st: re: moving standard deviation - panel data

From   Kit Baum <>
Subject   st: re: moving standard deviation - panel data
Date   Wed, 10 Oct 2007 13:25:12 -0400

Austin suggests working from first principles:

webuse grunfeld, clear
ren com id
ren year yr
tsset id yr
g c=d.mval
la var c "Change in mvalue"
bys id (yr): g sc=sqrt((c^2+l.c^2+l2.c^2)/3-((c+l.c+l.c)/3)^2)
* Optional correction (pop sd vs sample sd):
replace sc=sqrt(3/2)*sc
la var sc "SD of change in mvalue over prior 3 yrs"

and see -help tsvarlist- for more.

On 10/10/07, <> wrote:
 > Hi,
 > I know this should be simple but I just don't know what commands I  
have to type in order to get Stata 9.2 to run a moving 'standard  
deviation' for one variable of my panel (2892 companies, years:  
1995:2005). Basically, the new variable should be measured as the  
standard deviation of the change in 'earnings' over a three-year  
period. I wish to measure the changes from year t-3 until year t.  
Whenever (randomly, for some years) there are no data available, no  
standard deviation is computed. That's all.
 > I have been advised to use -rolling- but, after vain attempts to  
follow Manual's suggestions (and not much help from searches on  
previous similar threads, too), still I can't figure out the precise  
commands and options I need.
 > I shall really appreciate some help (an example, I hope) to make  
the calculation. Thank you in advance.

You could always use -mvsumm- from SSC.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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