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st: RE: Rolling Means and Standard Deviations

From   Nick Cox <>
To   "''" <>
Subject   st: RE: Rolling Means and Standard Deviations
Date   Wed, 30 Nov 2011 12:50:52 +0000

You do not define "not working". 

But why not check out -mvsumm- (SSC) instead as recommended very recently by Kit Baum? 


David Ashcraft

I am trying to find the rolling mean and standard deviation. I know that I can use -rolling- command but somehow lost my track. Please see the example below:

tsset t
generate ibmadj = ibm - irx
generate spxadj = spx - irx

now I want to generate means and standard deviation of both ibmadj and spxadj with window of 200 days. I looked in the Stata manual, it mentioned about the command. I believe, I should do the following:

rolling  _sd, window(200) saving(means, replace) keep(date): gen sd=r(sd) 
rolling  _mean, window(200) saving(means, append) keep(date): gen mean=r(mean)

But this is not working. Any help will be greatly appreciated.

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