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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Calculating Moving Averages with Missing Values |

Date |
Tue, 30 Mar 2010 14:12:56 +0100 |

Consider this output . set obs 10 obs was 0, now 10 . gen t = _n . gen y = _n . tsset t time variable: t, 1 to 10 delta: 1 unit . tssmooth ma y3 = y, w(1 1 1) The smoother applied was (1/3)*[x(t-1) + 1*x(t) + x(t+1)]; x(t)= y . tssmooth ma y5 = y, w(2 1 2) The smoother applied was (1/5)*[x(t-2) + x(t-1) + 1*x(t) + x(t+1) + x(t+2)]; x(t)= y . l +---------------------+ | t y y3 y5 | |---------------------| 1. | 1 1 1.5 2 | 2. | 2 2 2 2.5 | 3. | 3 3 3 3 | 4. | 4 4 4 4 | 5. | 5 5 5 5 | |---------------------| 6. | 6 6 6 6 | 7. | 7 7 7 7 | 8. | 8 8 8 8 | 9. | 9 9 9 8.5 | 10. | 10 10 9.5 9 | +---------------------+ -tssmooth ma- fills as best it can at the ends of series (which is _not_ the same as treating missings as 0s, as otherwise the results above would not be obtained). Jeff can override the results of -tssmooth- if he doesn't want that. replace y3 = . if missing(L1.y, F1.y) replace y5 = . if missing(L1.y, L2.y, F1.y, F2.y) For example, L1.y is missing at the beginning of a series y and F1.y at the end. This works with panel data too. A user-written alternative to -tssmooth- is the -egen- function -filter()- from -egenmore-. Alternatively, please spell out whatever way of dealing with ends you prefer. Nick n.j.cox@durham.ac.uk J.M.Chwieroth@lse.ac.uk When I use the tssmooth function to create 2 or 5 year moving averages, Stata calculates these moving averages until the end of the time-series rather than stopping 1 year (in the case of the 2 year moving average) or 4 years (in the case of the 5 year moving average) before the end of the time-series? It thus counts forward missing values as zero. Would you know a possible strategy to fix this problem? * * 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/

**References**:**st: Calculating Moving Averages with Missing Values***From:*<J.M.Chwieroth@lse.ac.uk>

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