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From |
Lars Knuth <knuth.lars@googlemail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Sat, 5 Jun 2010 17:28:11 +0200 |

Ok, great, it took some time, but I finally understood Martin`s code... this is a great way of learning more about STATA. My next problem is that I have a variable with the variances for 536 -rolling- steps for each of the stocks. It looks like this: Variance stock name 0.00234 exxon ........... exxon 0.13444 exxon 0.99388 microsoft ........... microsoft 0.42445 microsoft 0.42444 intel ........ intel 0.23434 intel What I would like to have is the following: 0.00234(exxon) 0.99388(microsoft) 0.42444(intel) ........... ............ ............ 0.13444 0.42445 0.23434(intel) I could do gen varexxon=Variance if stockname=="exxon" and that for all the stocks. But even if I do so I get variables with a lot of missings and I can not write the variances horizontally next to each other. But they are from the same time (because of -rolling-) and I need them to be horizontally ordered without the missings. I hope my problem becomes clear. I guess what I miss is just a small command. Thank you in advance for any hint! 2010/6/2 Martin Weiss <martin.weiss1@gmx.de>: > > <> > > 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/

**Follow-Ups**:**RE: st: RE: Calculate variances of subsamples***From:*"Martin Weiss" <martin.weiss1@gmx.de>

**References**:**st: Calculate variances of subsamples***From:*Lars Knuth <knuth.lars@googlemail.com>

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