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RE: st: Standard deviation of a moving window


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Standard deviation of a moving window
Date   Fri, 21 Aug 2009 22:52:15 +0200

<>


Ari wants to take a very hard look at  ?h rolling- which will solve his
problem. Here is a first stab at a solution:


******
clear*
set obs 100

//firms
gen firm=_n
lab var firm "Firm ID"

//expand to # of time periods
expand 10

bys firm: gen year=_n

gen M=rnormal()

compress

tsset firm year

qui rolling r(sd), /* 
 */ window(2) recursive /* 
 */ clear start(1) : su M


rename _stat_1 standev

l if firm<=4, /* 
 */ sepby(firm) noo
******


HTH
Martin



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