st: re calculating empirical cdfs

[Christopher F Baum <baum@bc.edu>]

Yvonne said

Separately, I would like to calculate the standard deviation of returns 
for
a particular year, e.g. egen stdev = stdev(nret), by(year), but there
doesn’t seem to be a stdev function (or any variants).  The “summarize”
function gives me standard deviations but doesn’t store these as a 
variable.
  I’ve been able to calculate the standard deviation manually, by 
squaring
the normalized returns and dividing them by the total number of 
observations
less one, but thought that Stata must have a function to do this.

help egen turns up sd()...and from that help file,

    count(exp)                                                       
(allows by varlist)
        creates a constant (within varlist) containing the number of 
nonmissing
        observations of exp.  Also see robs() and rmiss() below.

so I don't understand " I’m using Stata 8, which doesn’t seem to allow
me to do a egen temp = count(x) like previous Stata version".

Not clear that any egens are needed, though. If you want the results 
stored in variables:

clear
local nn 10000
set obs `nn'
g ret  = invnorm(uniform())
g sigma = .
g res = .
g sd = .
local j 0
qui forv i= -3/3 {
	count if ret < `i'
	local ++j
	replace sigma = `i' in `j'
	replace res = r(N)/`nn' in `j'
	replace sd = sqrt(res[`j']*(1-res[`j'])/`nn') in `j'
	}
l sigma res sd in 1/7

Kit Baum, Boston College Economics      baum@bc.edu
http://ideas.repec.org/e/pba1.html


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