Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: RE: Calculate variances of subsamples


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 17:48:41 +0200

Oh, my explanation was probably irritating. It was just for
illustration. I have two columns, one with the numbers, the other
having the strings. What I need to have in a new file is just the
numbers.

0.00234(exxon) says that there should be the 0.00234, which depends to
exxon etc. It were of course nice if the new variable including the
exxon numbers would be named exxon, the one having the numbers for
microsoft could be named microsoft etc. However, the important part
concerns just the numbers.

2010/6/5 Martin Weiss <martin.weiss1@gmx.de>:
>
> <>
>
> Your problem may turn out to be easily solved with a -reshape-. It is not a
> good idea, though, to have "0.00234(exxon)" in a cell of your data, as this
> would have to be stored as a string, precluding any further processing of
> the number. Did you write it as an illustration, or do you really want the
> cell to contain the string?
>
>
> HTH
> Martin
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Lars Knuth
> Sent: Samstag, 5. Juni 2010 17:28
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: Calculate variances of subsamples
>
> 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/
>
>
> *
> *   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index