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Re: st: Standard deviation for trailing x months


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Standard deviation for trailing x months
Date   Tue, 29 Nov 2011 15:53:40 +0000

-egen- does not provide much support for this kind of problem. Try
-rolling- with -summarize-.

Nick

On Tue, Nov 29, 2011 at 3:21 PM, Nick K <coffeemug.nick@gmail.com> wrote:

> I have panel data with observations per firm for a number of months. I
> want to calculate the standard deviation of returns over 60 months
> preceding the sample year. For example, to calculate the value for
> 1993 I want to calculate the sd for period between Jan 1988 and Dec
> 1992.
>
> I know how to calculate it for all years for 1 firm:
> bys company date: egen sd=sd(return)
>
> Doing it for subsamples within each firm is harder. I can imagine that
> if I generated a group variable for each "block" (e.g. observations
> between Jan 1988 and Dec 1992 are 1, next block is 2 and so on) I
> could use the above command, but I don't know how to generate these
> groups either.
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