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

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

Subject |
RE: st: RE: mean and sd of lagged variables |

Date |
Fri, 29 Jul 2011 14:25:06 +0100 |

I think you're right to be puzzled, as on closer inspection -rolling- doesn't offer precisely what you want, so your manual method seems the way forward. But it has a syntax for collecting saved results, which you used, so I too am puzzled by your last question. On a small detail, -sqrt()- is to be preferred very marginally to powering with 0.5. Nick n.j.cox@durham.ac.uk Ben Hoen Well Nick, you have blown right past my level of competency. I could not figure out how to execute a rolling command correctly. I did get a manual mean and sd to work, but now I am curious about how to use rolling, assuming that if I learn to use it for this purpose it will have many other uses. Here is the ado file that is producing what I want, manually use http://www.stata-press.com/data/imeus/grunfeld,clear keep if company==1 tsset year g ml3i=(L3.invest + L2.invest + l1.invest)/3 g sdl3i= (((L3.invest-ml3i)^2 + (L2.invest-ml3i)^2 + /// (L1.invest-ml3i)^2)/3)^.5 label var ml3i "ma lag3 of invest" label var sdl3i "sd lag3 of invest" list year invest ml3i sdl3i, sep(20) And this was what I was working on with .rolling until I gave up: rolling ml3ri=r(mean) sdl3ri=r(sd), window(3):summarize invest, detail list year invest ml3ri sdl3ri, sep(20) Can you see where my error(s) was(were)? Will the rolling command allow me to add variables like .generate or .egen (the sample ado seemed to discard the working data for new data - but again, maybe I was not getting it)? Nick Cox . help rolling Ben Hoen I am trying to create a mean and standard deviation of the previous 3 periods in a time-series dataset and can't seem to get it to work. Here is sample code: use http://www.stata-press.com/data/imeus/grunfeld,clear keep if company==1 g x=int(invest) g year=year-1934 keep year x sort year *ml3x equals average of previous 3 years of x *g ml3x=????? *sdl3x equals standard deviation of previous 3 years of x *g sdl3x=?????? list, sep(20) Here is what I want to produce: year x ml3x sdl3x 1 317 2 391 317 3 410 354 52 4 257 373 49 5 330 353 83 6 461 332 77 7 512 349 103 8 448 434 94 9 499 474 34 10 547 486 34 11 561 498 50 12 688 536 33 13 568 599 78 14 529 606 71 15 555 595 83 16 642 551 20 17 755 575 59 18 891 651 100 19 1304 763 125 20 1486 983 286 It is the two g commands (or maybe they are supposed to be egen commands) that I cannot figure out how to do. * * 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: mean and sd of lagged variables***From:*Nick Cox <n.j.cox@durham.ac.uk>

**References**:**Re: st: RE: mean and sd of lagged variables***From:*"Ben Hoen" <bhoen@lbl.gov>

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