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st: RE: Calculate "running" standard deviation


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Calculate "running" standard deviation
Date   Thu, 20 Jan 2011 16:14:39 +0000

What's wrong with -rolling- (or even -mvsumm- from SSC)? 

Nick 
n.j.cox@durham.ac.uk 

Poliquin, Christopher

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.


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