st: Computing percentiles for each date

[George Murray <george.murray16@gmail.com>]

Dear Statalist,

I am working with time series data, and my variables consist of
monthly returns for 1000 stocks (so the variables are
date,r1,r2,r3,...,r1000). For each date, I would like to find the 90th
percentile-return. That is, the return of the stock with the 100th
highest return, at each date.

I have tried using -by date: egen p90 = pctile(r1-r1000)-, but Stata
interprets the 'r1-r1000' as the variable defined by r1 minus r1000,
rather than the 90th percentile of the returns at each date. This
approach works if I want to find the mean return at each date, using
-egen mean = rmean(r1-r1000)-, but I am not sure if there is an
equivalent code to find percentiles. Does anyone have any ideas on how
to do this?

Thanks in advance.

George.
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