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Re: st: Rolling Means and Standard Deviations


From   Richard Herron <[email protected]>
To   [email protected]
Subject   Re: st: Rolling Means and Standard Deviations
Date   Thu, 1 Dec 2011 10:07:04 -0500

I try to avoid -rolling- for easy calculations that I plan to run more
thanonce or twice. I usually do rolling univariate regressions, but I
tweakedthe code to do only mean and sd.
My Stata program syntax is still really crude, so I would appreciate
anyfeedback. Regardless, this should be much faster than -rolling- if
you'reever doing more than one firm.
* begin code* my programcapture program drop rolling_mean_sdprogram
rolling_mean_sd   version 11.2   syntax varlist(numeric min=1 max=1),
window(real)
   * get dependent and indpendent vars from varlist   tempvar x x2 xs
x2s   tokenize "`varlist'"   generate `x' = `1'   local w = `window'
   * generate sums   generate `x2' = `x' * `x'   generate `xs' =
sum(`x')   generate `x2s' = sum(`x2')
   * generate mean, variance, and sd   generate meanx = s`w'.`xs' /
`w'   generate sdx = sqrt((s`w'.`x2s' - s`w'.`xs' * s`w'.`xs' / `w') /
`w')
end
* get datause http://www.stata-press.com/data/r11/ibm,cleartsset
tgenerate ibmadj = ibm - irxgenerate spxadj = spx - irx
* callrolling_mean_sd ibmadj, window(200)list in -25/l
* end code

On Wed, Nov 30, 2011 at 08:04, Scott Merryman <[email protected]> wrote:
>
> 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
> <[email protected]> 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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