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Re: st: Calculate the average bid-ask spread for each centile


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Calculate the average bid-ask spread for each centile
Date   Fri, 27 Mar 2009 11:39:59 +0000 (GMT)

--- On Fri, 27/3/09, emanuele canegrati  wrote:

> I have a time series of bid-ask spreads, grouped in
> centiles, with respect to trading time. Now I want to
> calculate the average spread for each centile. The structure
> of data is the following
>  
> day          spread   hhmmss  centile
> 20080602     xxxx     090302   1
> 20080602     xxxx     090510   1
> ...
> 20080602     xxxx     100408   2
> 20080602     xxxx     100908   2
> ...
> 20080602     xxxx     160007   100
> 20080602     xxxx     160107   100
> ...
> 20080603     xxxx     090302   1
> 20080603     xxxx     090510   1
> ...
> 20080603     xxxx     100408   2
> 20080603     xxxx     100908   2
> ...
> 20080603     xxxx     160007   100
> 20080603     xxxx     160107   100
> ...
>  
> What is the loop I have to write?

no loop necesary:

bys centile : egen mspread = mean(spread)

Hope this helps,
Maarten

-----------------------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://home.fsw.vu.nl/m.buis/
-----------------------------------------





      

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