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st: tscollap - converting monthly data to annual averages

From   David Ashcraft <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: tscollap - converting monthly data to annual averages
Date   Thu, 26 Jul 2012 05:43:09 -0700 (PDT)

I am trying to convert the monthly return of 29 firms into annual means from Jan2000 to May2012. I have tried to use the tscollap command. I get the following results:

tscollap rp rm, to(y)

Converting from M to Y
unknown egen function filter()

I just have downloaded the tscollap, It should be most updated. Even if it worked, I don'e know whether tscollap will take care of individual firms identified by id

Alternatively, I can use collapse command, however collaps does not take into consideration the time. I have looked into several posts but could not find a reasonable solution in my particular case.
Any help will be highly appreciated.


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