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Re: st: RE: Standard deviation of variable between dates


From   Joseph Monte <hmjc66@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Standard deviation of variable between dates
Date   Thu, 16 Sep 2010 10:06:57 -0400

This is as far as I got:-

tsset revfdate_1
rolling sigma=r(sd), clear recursive window(1): summarize vwretd, detail

Unfortunately, this only runs for the first revfdate1 (i.e. 02jan1996)
(in other words 2556 observations). My dates run from 02jan1996 -
31dec2002, so I guess I should have 2556 x 2556 observations.

start	end	sigma
02jan1996	02jan1996	
02jan1996	03jan1996	.0047819
02jan1996	04jan1996	.0071548
02jan1996	05jan1996	.0058503
02jan1996	06jan1996	.0058503
02jan1996	07jan1996	.0058503
02jan1996	08jan1996	.0052703
02jan1996	09jan1996	.0080427
02jan1996	10jan1996	.0088304
02jan1996	11jan1996	.0093549
02jan1996	12jan1996	.0087719
02jan1996	13jan1996	.0087719
02jan1996	14jan1996	.0087719
02jan1996	15jan1996	.0083129
02jan1996	16jan1996	.0087911
etc

Thanks,

Hugh

On Tue, Sep 14, 2010 at 2:12 PM, Martin Weiss <martin.weiss1@gmx.de> wrote:
>
> <>
>
> Have you tried -rolling-?
>
>
> HTH
> Martin
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Joseph Monte
> Sent: Dienstag, 14. September 2010 19:57
> To: statalist
> Subject: st: Standard deviation of variable between dates
>
> Hi Statalisters,
>
> Based on the table below, I need the standard deviation of vwretd
> between revfdate1[_n+1] (i.e. not including revfdate1) and offerdate1
> while revfdate1[_n+`i']<=offerdate1, where i goes from 1 to 300
> (basically the max length between revfdate1 and offerdate1 is 300).
> So, using obs 23 as an example, I want the std dev of  -.00223069 and
> .00704247. to be entered alongside obs 23 in a new variable. This new
> variable should similarly contain all the resulting std deviations.
> So, based on the table, there would be three std dev values ( obs 8,
> 14 & 23). I hope my explanation is clear.
>
>      | revfdate1   offerdate1       vwretd |
>      |------------------------------------|
>   1. | 02jan1996           .    .00661722 |
>   2. | 03jan1996           .   -.00014537 |
>   3. | 04jan1996           .    -.0076854 |
>   4. | 05jan1996           .   -.00103026 |
>   5. | 08jan1996           .    .00268481 |
>      |------------------------------------|
>   6. | 09jan1996           .    -.0158739 |
>   7. | 10jan1996           .   -.01555297 |
>   8. | 11jan1996   20mar1996    .00843481 |
>   9. | 12jan1996           .   -.00099131 |
>  10. | 15jan1996           .    -.0052766 |
>      |------------------------------------|
>  11. | 16jan1996           .    .01000137 |
>  12. | 17jan1996           .   -.00052036 |
>  13. | 18jan1996           .    .00378893 |
>  14. | 19jan1996   07feb1996     .0056981 |
>  15. | 22jan1996           .    .00429229 |
>      |------------------------------------|
>  16. | 23jan1996           .   -8.435e-06 |
>  17. | 24jan1996           .    .01023512 |
>  18. | 25jan1996           .   -.00367997 |
>  19. | 26jan1996           .    .00624507 |
>  20. | 29jan1996           .    .00404597 |
>      |------------------------------------|
>  21. | 30jan1996           .    .00915902 |
>  22. | 31jan1996           .    .00800156 |
>  23. | 01feb1996   05feb1996    .00463789 |
>  24. | 02feb1996           .   -.00223069 |
>  25. | 05feb1996           .    .00704247 |
>      |------------------------------------|
>  26. | 06feb1996           .    .00684131 |
>  27. | 07feb1996           .    .00349892 |
>  28. | 08feb1996           .    .00772813 |
>
>
> Thanks,
>
> Joe
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