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st: RE: mvsumm and missing obs

From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   st: RE: mvsumm and missing obs
Date   Tue, 10 Aug 2004 17:18:44 +0100

I think you need to clone -mvsumm- and 
get your clone, called something else, 
to do what you want. It's not difficult, 
but speaking as a co-author of -mvsumm- 
you don't have my support in this aim. 
Insisting on complete windows is, I suggest, 
to be regarded as a small feature 
in -mvsumm-. You can nobble the code if you wish, 
but that is your responsibility. 

Kit Baum may or may not agree with me on this. 

[email protected] 

[email protected]
> I have a similar question to Adrian's about -mvsumm-.  
> Unfortunately, the
> proposed solution (using -tssmooth-) doesn't work as I am 
> interested in moving
> variances, not moving averages.
> How can I get create a variable that contains the variance of 
> the five preceding
> observations in a panel data set, even if one or two of the 
> those preceding
> observations are missing?  And how can I specify the minimum number of
> non-missing observations within the window?

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