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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

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

Subject |
FW: st: RE: RE: Calculate variances of subsamples |

Date |
Thu, 3 Jun 2010 20:19:08 +0200 |

<> So Knuth came back to me privately to inquire about details of example code I sent earlier. The code creates a "myfile.dta" that collects all the results returned by -rolling- into one big dataset using -append-. It also tries to recreate Knuth`s "3105.dta" file that I cannot possibly have, so I make up numbers via -rnormal()-. Maybe I should have called the thing "3106.dta", so it does not overwrite anything, but there you go... I do not understand his comment "* here is a problem, because stock is not in the varlist.". Did you not say that you wanted to repeat the -rolling- calculation for 1000 stocks? Maybe the name is "share" or something similar? HTH Martin -----Original Message----- From: Lars Knuth [mailto:knuth.lars@googlemail.com] Sent: Donnerstag, 3. Juni 2010 18:44 To: martin.weiss1@gmx.de Subject: Re: st: RE: RE: Calculate variances of subsamples Dear Martin, thanks for taking the time to come up with this example. I appreciate it very much. I just have basic knowledge of STATA, but I am eager to learn more since I want to concentrate on using STATA instead of Eviews and Matlab. Those examples help me the most to get to know insights in a software. I just have the problem that I can understand the code partially, but sometimes I have problems to understand some lines or the connection between those. I want to ask you whether you could explain it a bit. I am sending the code including some questions: *create resultsfile *Lars: myfile.dta is not my data file 3105.dta right? *Lars: Why do I have to erase a file from the disk in the beginning? cap erase myfile.dta Lars: Why do I need the value of the return code of the cap before? di in red _rc clear* gen start=. gen end=. gen _stat_1=. gen stock=. gen str15 kindofreturn="" * This should save the data to myfile.dta. But actually it did not create such a file. save myfile, replace *get "3105.dta" clear* *8 stocks set obs 8 gen byte stock=_n *5 time periods * Expand makes the dataset 5 times larger. Is this given by my dataset? expand 5 * Sorting by stock? bys stock: gen byte time=_n * I guess I can delete these lines, because it just generates some random numbers. gen double exret=rnormal() gen double msciret=rnormal() gen double msftret=rnormal() gen double appret=rnormal() gen double geret=rnormal() gen double pgret=rnormal() gen double jnjret=rnormal() gen double bpret=rnormal() * Does this overwrite the old 3105 file only temporaly or permanently? save 3105, replace use "3105.dta", clear *Return calculation gen double grexret=ex[_n]/ex[_n-1]-1 if _n>1 gen double grmsciret=msci[_n]/msci[_n-1]-1 if _n>1 gen double grmsftret=msft[_n]/msft[_n-1]-1 if _n>1 gen double grappret=app[_n]/app[_n-1]-1 if _n>1 gen double grgeret=ge[_n]/ge[_n-1]-1 if _n>1 gen double grpgret=pg[_n]/pg[_n-1]-1 if _n>1 gen double grjnjret=jnj[_n]/jnj[_n-1]-1 if _n>1 gen double grbpret=bp[_n]/bp[_n-1]-1 if _n>1 *loop to get -rolling- results for each stock *and each return * This goes through exret, msciret and msftret. foreach ret in exret msciret msftret{ *start inner loop * here is a problem, because stock is not in the varlist. su stock, mean qui forv i=1/`r(max)'{ preserve keep if stock==`i' tsset time rolling r(Var), window(2) clear: su `ret' gen stock=`i' gen kindofreturn="`ret'" * I guess here is an important part I do not understand. * Append appends myfile to the existing dataset, then the dataset is saved again. append using myfile save myfile, replace restore } *end inner loop } u myfile, clear ren _stat_1 Variance sort stock kindofreturn start l, sepby(stock kindofreturn) noo *********** Thanks in advance again and best greetings from the sunny Netherlands! Lars 2010/6/2 Martin Weiss <martin.weiss1@gmx.de>: > > <> > > So here is an example that avoids -postfile- for Lars` case: > > > *********** > //create resultsfile > cap erase myfile.dta > di in red _rc > > clear* > gen start=. > gen end=. > gen _stat_1=. > gen stock=. > gen str15 kindofreturn="" > > save myfile, replace > > //get "3105.dta" > clear* > //8 stocks > set obs 8 > gen byte stock=_n > > //5 time periods > expand 5 > bys stock: gen byte time=_n > > gen double exret=rnormal() > gen double msciret=rnormal() > gen double msftret=rnormal() > gen double appret=rnormal() > gen double geret=rnormal() > gen double pgret=rnormal() > gen double jnjret=rnormal() > gen double bpret=rnormal() > > save 3105, replace > > //-use- "3105" > u 3105, clear > > //Return calculation > gen double grexret=ex[_n]/ex[_n-1]-1 if _n>1 > gen double grmsciret=msci[_n]/msci[_n-1]-1 if _n>1 > gen double grmsftret=msft[_n]/msft[_n-1]-1 if _n>1 > gen double grappret=app[_n]/app[_n-1]-1 if _n>1 > gen double grgeret=ge[_n]/ge[_n-1]-1 if _n>1 > gen double grpgret=pg[_n]/pg[_n-1]-1 if _n>1 > gen double grjnjret=jnj[_n]/jnj[_n-1]-1 if _n>1 > gen double grbpret=bp[_n]/bp[_n-1]-1 if _n>1 > > > //loop to get -rolling- results for each stock > //and each return > > foreach ret in exret msciret msftret{ > > //start inner loop > su stock, mean > qui forv i=1/`r(max)'{ > preserve > keep if stock==`i' > tsset time > rolling r(Var), window(2) clear: su `ret' > gen stock=`i' > gen kindofreturn="`ret'" > append using myfile > save myfile, replace > restore > } > //end inner loop > > } > > u myfile, clear > ren _stat_1 Variance > sort stock kindofreturn start > l, sepby(stock kindofreturn) noo > *********** > > > HTH > Martin > > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Martin Weiss > Sent: Mittwoch, 2. Juni 2010 20:27 > To: statalist@hsphsun2.harvard.edu > Subject: st: RE: Calculate variances of subsamples > > > <> > > You could of course issue the -rolling- call with -clear- present, -save- > the result to a new file and reload your "3105.dta" to start anew for the > next stock. The datasets thus -saved- could be -append-ed to form one big > dataset afterwards. -postfile- is also an option, as always. > > BTW, you may be better of with the lag operator "L." for your return > calculations. > > > HTH > Martin > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Lars Knuth > Sent: Mittwoch, 2. Juni 2010 20:22 > To: statalist > Subject: st: Calculate variances of subsamples > > Dear listers, > > I have to say thanks to Martin, the recommendation of rolling was > great. Unfortunately, I have now a few problems with the > implementation. > 1. -rolling- works with the "clear" option, but without it does not > ("rolling r(Var), window(60) clear: summarize exret" works) > 2. I need the data to calculate and store the variances for more than > 1000 stock price returns in the end, so can I somehow keep all the > data and then perform -rolling- in a loop? > 3. Is there also an opportunity to perform the return calculation in a loop? > > I am attaching parts of the code I have so far. Any ideas would be of > great help to me. > Thanks in advance! > > clear* > use "C:\...\3105.dta", clear > > gen int time=_n > * Return calculation > gen double exret=ex[_n]/ex[_n-1]-1 if _n>1 > gen double msciret=msci[_n]/msci[_n-1]-1 if _n>1 > gen double msftret=msft[_n]/msft[_n-1]-1 if _n>1 > gen double appret=app[_n]/app[_n-1]-1 if _n>1 > gen double geret=ge[_n]/ge[_n-1]-1 if _n>1 > gen double pgret=pg[_n]/pg[_n-1]-1 if _n>1 > gen double jnjret=jnj[_n]/jnj[_n-1]-1 if _n>1 > gen double bpret=bp[_n]/bp[_n-1]-1 if _n>1 > > tsset time > > * Rolling > rolling r(Var), window(60): summarize exret > rolling r(Var), window(60): summarize msciret > rolling r(Var), window(60): summarize msftret > * > * 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/ > > * > * 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/

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