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Re: st: Rolling Means and Standard Deviations


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Rolling Means and Standard Deviations
Date   Wed, 30 Nov 2011 07:04:19 -0600

Take a look at the last example in the -rolling- help file - your
syntax does not make any sense.

Perhaps you want something like this:

use http://www.stata-press.com/data/r11/ibm,clear
tsset t
generate ibmadj = ibm - irx
generate spxadj = spx - irx
rolling  mean_ibm=r(mean) sd_ibm=r(sd), window(200) saving(ibm,
replace) keep(date): sum ibmadj
rolling  mean_spx=r(mean) sd_spx=r(sd), window(200) saving(spx,
replace) keep(date): sum spxadj
merge 1:1 date using ibm, nogenerate
merge 1:1 date using spx, nogenerate
l in -20/l


Scott



On Wed, Nov 30, 2011 at 6:40 AM, David Ashcraft
<ashcraftd@rocketmail.com> wrote:
> Hi Statalist:
>
> 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:
>
> use http://www.stata-press.com/data/r11/ibm
> 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.
> Regards
>
> David

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