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Re: Re: st: rolling moments


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: rolling moments
Date   Sun, 23 Dec 2012 15:36:08 +0000

Business  calendars were introduced in Stata 12 after the article by
Kit you allude to.

On Sun, Dec 23, 2012 at 2:46 PM, annoporci <annoporci@gmail.com> wrote:
> 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.
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