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st: Computing local variance

From   "Benjamin Villena Roldan" <>
To   <>
Subject   st: Computing local variance
Date   Fri, 20 Feb 2009 16:26:35 -0500

Dear Statalist
I'm dealing with the following problem. I have two continuous variables X
and Y. I'm trying to do the following:
1. Sort the data using X
2. For each observation of X, I compute the local variance of Y by a nearest
neighborhood approach. I take the 2k closest observations to an observation
X[i], i.e. using observations between X[i-k+1] and X[i+k]. 
3. I'm implementing this approach by using a forvalue loop such as

 sort X
 count if X!=.
 local k=ceil(r(N)^0.5/2)
 local K=r(N)-`k'
 gen SD_Y=.	
 forv i=`k'/`K' {
	local k0=`i'-`k'+1
      local k1=`i'+`k'
      qui summ Y in `k0'/`k1'
      replace SD_Y=r(sd) in `i'/`i'
So, I have two questions/problems about this code
1. I need to do the same procedure several times and it is very
time-consuming. Is there a way to speed up the execution? How much time
would I gain if I implement a similar code in C++?
2. There are missing observations in X and Y, how can I restrict the sort
command to deal with nonmissing values of both variables. A simple answer is
to do 
-keep if X!=. & Y!=.
Can I do it without dropping data?

Thank you very much,


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