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From |
"Marietta Jones" <marjones75@googlemail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: Calculate rolling mean using last observation in a group |

Date |
Tue, 12 Aug 2008 15:23:16 +0100 |

Hi Nick, Thank you very much for the suggested solution. I tried writing my own do file based on your suggestions to my previous post, but I couldn't get the code to work. My main problem was that while I knew how to tag the first observation of a group, I did not know how to successfully tag the last observation. gsort appears to offer a good solution that I was not aware of. Thanks, Marietta On Tue, Aug 12, 2008 at 1:51 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote: > If I understand your question correctly, it yields to a minor variation > on the technique documented in > > SJ-7-3 pr0033 . . . . . . . . . . . . . . Stata tip 51: Events in > intervals > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N. > J. Cox > Q3/07 SJ 7(3):440--443 (no > commands) > tip for counting or summarizing irregularly spaced > events in intervals > > and explained in my posting replying to your previous question: > > <http://www.hsph.harvard.edu/cgi-bin/lwgate/STATALIST/archives/statalist > .0808/date/article-20.html> > > local N = _N > gsort Company_No - Date > gen avex = . > qui forval i = 1/`N' { > egen tag = tag(Investor_id) /// > if Company_no == Company_no[`i'] & /// > inrange(Date, Date[`i'] - 90, Date[`i']) > > su x if tag, meanonly > > replace avex = r(mean) in `i' > > drop tag > } > > The obvious variations on the previous example are using -summarize, > meanonly- to get the mean and specifying the previous 90 days within an > -inrange()- condition. (This code includes the current date; modify > according to taste.) > > The not-so-obvious variation is using -egen, tag()- to tag the _last_ > relevant observation for each distinct Investor_id. > > -egen, tag()- tags just one of any repetitions of each distinct value of > the variable specified. It's not documented, but the observation tagged > is in fact the _first_ such occurrence in the dataset in the current > sort order. Hence use -gsort- first to reverse date order in each panel, > so that tagging catches the last such occurrence in time. > > Nick > n.j.cox@durham.ac.uk > > Marietta Jones > > I have a new problem related to the dataset I presented in my original > email (see below). > > For each observation in the dataset, I would like to calculate the > mean of variable x for the same company_no on a rolling prior 90 day > basis. > The extra complexity arises by the fact that there may be more than > one observations of variable x for the same investor_id for a given > company_no. > I would only like to include the last observation per investor_id for > a given company_no in the calculation of the mean. > >>> I have the following dataset: >>> >>> Company_no Date Investor_id >>> 1 03/01/2000 1 >>> 1 04/09/2000 1 >>> 1 12/12/2001 2 >>> 2 13/12/2000 4 >>> 2 07/08/2001 7 >>> 3 09/08/2000 4 >>> 3 19/03/2001 4 >>> 3 02/05/2001 5 >>> 3 03/12/2001 6 >>> >>> >>> For each observation, I would like to calculate the number of > distinct >>> investors owning shares in a given company in the previous 12 months. >>> The new variable (No_investors_past_12_months) will look as follows: >>> >>> Company_no Date Investor_id > No_investors_past_12_months >>> 1 03/01/2000 1 1 >>> 1 04/09/2000 1 1 >>> 1 12/12/2001 2 1 >>> 2 13/12/2000 4 1 >>> 2 07/08/2001 7 2 >>> 3 09/08/2000 4 1 >>> 3 19/03/2001 4 1 >>> 3 02/05/2001 5 2 >>> 3 03/12/2001 6 3 >>> >>> For example, for company 2 on 07/08/2001 there are two investors who >>> have owned shares of this company within the past 12 months. >>> >>> The idea is that the same investor should be counted only once and we >>> should count all observations over the past 12 months, including the >>> current observation date. If there are no observations over the past >>> 12 months, the value of the new variable should equal 1. > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: RE: Calculate rolling mean using last observation in a group***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**References**:**st: Calculate rolling mean using last observation in a group***From:*"Marietta Jones" <marjones75@googlemail.com>

**st: RE: Calculate rolling mean using last observation in a group***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

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