st: Calculate "running" standard deviation

["Poliquin, Christopher" <cpoliquin@hbs.edu>]

Hi,

I am attempting to calculate a "running" standard deviation on some time series data.  The idea is each row has a standard deviation that is based solely on past observations.  The data looks like...

COUNTRY   YEAR   VALUE   SDEV
+---------------------------------------------------------------------+
| GBR     2001    10     
| GBR     2002    20     this one based on GBR-2002 and GBR-2001
| GBR     2003    25     this one based on all the GBR observations
+---------------------------------------------------------------------+
| USA     2001    30     this one based only on this row
| USA     2002    10     this one based on USA-2001 and USA-2002
| USA     2003    15     
+---------------------------------------------------------------------+

So I need to fill in the SDEV column, with the stat grouped by country, and based only on years prior to the year in the YEAR column.

I think I have a solution, but I can't believe it's the best way to do this.  Here is my code...

sort COUNTRY YEAR
gen obs = _n
program test, byable(recall)
	local first = _byn1()
	local last = _byn2()
	forvalues x=`first'(1)`last' {
		quietly gen y = VALUE if obs <= `x' & obs >= `first'
		quietly egen w = sd(y)
		replace SDEV = w in `x'
		drop y w
	}
end
by COUNTRY : test


Could the experts please give a critique of the above?  Especially considering that I am working with about 80,000 rows, not 6.

Also, there must be better words to describe what I want.  "Running standard deviation" doesn't sound like the best term.


Best wishes,
Chris
------------------------
Research Associate
Harvard Business School


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