Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Nick Cox <njcoxstata@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: rollreg |
| Date | Tue, 1 May 2012 18:25:02 +0100 |
I am not sure how much faith to put in standard deviations based on 3 values, but you don't need the looping of -rolling- here local y roe gen sd = sqrt(((`y'^2 + L.`y'^2 + F.`y'^2) / 3) - ((`y' + L.`y' + F.`y')/3)^2) subject to whether you prefer a different divisor. Nick On Tue, May 1, 2012 at 5:40 PM, "Fabian Schönenberger" <sch.f@gmx.ch> wrote: > 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? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/