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Re: Re: st: rolling moments


From   annoporci <annoporci@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: rolling moments
Date   Sun, 23 Dec 2012 22:46:29 +0800

Thanks Kit, I'm looking into that, I also came across your article on
"Taking care of business," and I think that your seqdate should take care
of it. I've looked up bcal too, but while your seqdate explanation was immediately clear I'm less confident about trying out bcal for now.

many thanks for your very quick replies and invaluable suggestions,

--
Patrick Toche.

Reference:
http://www.stata-journal.com/article.html?article=dm0028


 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
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