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RE: st: moving standard deviation (panel data)


From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   RE: st: moving standard deviation (panel data)
Date   Thu, 11 Oct 2007 17:00:01 +0100

Typo time: 

bys id (yr): g sc=sqrt((c^2+l.c^2+l2.c^2)/3-((c+l.c+l.c)/3)^2)

should presumably be 

bys id (yr): g sc=sqrt((c^2+l.c^2+l2.c^2)/3-((c+l.c+l2.c)/3)^2)

Caveat lector! 

Nick 
[email protected] 

Austin Nichols
 
> webuse grunfeld, clear
> ren com id
> ren year yr
> tsset id yr
> g c=d.mval
> la var c "Change in mvalue"
> bys id (yr): g sc=sqrt((c^2+l.c^2+l2.c^2)/3-((c+l.c+l.c)/3)^2)
> * Optional correction (pop sd vs sample sd):
> replace sc=sqrt(3/2)*sc
> la var sc "SD of change in mvalue over prior 3 yrs"
> 
> and see -help tsvarlist- for more.
> 
> On 10/10/07, [email protected] <[email protected]> wrote:
> > Hi,
> >
> > I know this should be simple but I just don't know what 
> commands I have to type in order to get Stata 9.2 to run a 
> moving 'standard deviation' for one variable of my panel 
> (2892 companies, years: 1995:2005). Basically, the new 
> variable should be measured as the standard deviation of the 
> change in 'earnings' over a three-year period. I wish to 
> measure the changes from year t-3 until year t. Whenever 
> (randomly, for some years) there are no data available, no 
> standard deviation is computed. That's all.

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