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st: rollreg


From   "Fabian Schönenberger" <[email protected]>
To   [email protected]
Subject   st: rollreg
Date   Tue, 01 May 2012 18:40:29 +0200

Dear Statalist
In order to conduct moving standard deviations for the return on equity for my panel data I used the following command:

rolling sd=r(sd), window(3) keep(cusip) clear: sum roe

Data sample is quite large, ca. 250'000 yearly-observations, ca. 8'000 companies. Unfortunately, the command takes several hours to produce the output. Is there any other possibility to conduct moving standard deviations for unbalanced panel data?

Many thanks in advance, 

Fabian
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