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st: RE: mvsumm and missing observations (part 2)

From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   st: RE: mvsumm and missing observations (part 2)
Date   Wed, 11 Aug 2004 19:22:05 +0100

Yesterday you wanted the variance in 
a window of 5 even if there were only 3 values; 
today things are more reasonable! 

As many people have found, it is quite 
easy to modify a Stata program (although 
also quite easy to break it). 

You should copy the file in your OS 
to say -mymvsumm.ado-. 

Then you open it in a text editor. 
-doedit- will do fine. 

In the first line 

program def mvsumm, rclass

you should change "mvsumm" to "mymvsumm"

Below that, insert a new line like 

*! mymvsumm 1.0.0 Jan Soko 11 August 2004

Now search the file for the two occurrences

if `na' == `window' 

and delete them. 

Now save the file and try it out. Warning: 
not tested! 

To keep track of how many actually are in 
each window, you could 

gen mimyvar = !mi(myvar) 
mymvsumm mimyvar , stat(sum) gen(npresent) 

I suspect that there is at least one further
change you will want to make, but that, 
as they say in the texts, is left as an exercise. 

[email protected] 

[email protected]
> Dear Kit and Nick,
> thanks you for your prompt responses.  I understand your 
> concern.  However, I am
> applying -mvsumm- in a finance setting: I need to estimate 
> the volatility of
> stock returns using the preceding 60 months of returns.  
> Sometimes, I have just
> 1 observation missing...  and as long as this observation is 
> part of the
> preceding 60 months, I get no estimate of the volatility for 
> that company's
> stock (i.e. I lose 60 observations by insisting on a complete 
> history).  I am
> willing to make the tradeoff between gaining 60 observations 
> at the cost of a
> slightly less reliable measure of volatility.
> In your answer you suggested to clone and reprogram your 
> original -mvsumm-. I am
> not a programming whiz - do you have any pointers?
> This is a common procedure in finance - I think you may 
> underestimate the demand
> for such a feature in -mvsumm- ;-)
> Thanks a lot!!  Jan
> > Dear Stata users,
> > 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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