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st: rollreg

From   "Fabian Schönenberger" <>
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, 

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