Re: Re: st: rolling moments

[Christopher Baum <kit.baum@bc.edu>]

<>
On Dec 23, 2012, at 2:33 AM, owner-statalist@hsphsun2.harvard.edu (statalist-digest) wrote:

> I forgot to add, this is my best shot:
> 
>  rolling sd=r(sd) skewness=r(skewness) kurtosis=r(kurtosis), window (60)  
> clear: summarize, detail
> 
> The problem is that it generates a lot of gaps because of missing data.

Unless there are many days with no trades, you can probably get rid of the missing data by employing a business-daily
calendar. help bcal to set that up.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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