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Re: st: Running Product Function
From
Yuval Arbel <[email protected]>
To
[email protected]
Subject
Re: st: Running Product Function
Date
Mon, 10 Dec 2012 00:41:41 +0200
So maybe I could try the harmonic mean as well.
P.S. The geometric mean is excellent for my objectives:
psychologically if there is a positive momentum it is plausible that
more weight is given to the latter periods, while if there is a
negative momentum more weight is given to earlier periods (where the
market was high)
On Mon, Dec 10, 2012 at 12:25 AM, Yuval Arbel <[email protected]> wrote:
> Thanks Nick. That was very helpful.
>
> On Mon, Dec 10, 2012 at 12:14 AM, Yuval Arbel <[email protected]> wrote:
>> Note also that the geometric mean of this series is 25. This implies
>> that while the arithmetic mean gives more weight to earlier periods,
>> the geometric mean gives more weight to latter periods.:
>>
>> ameans(reduct_per)if appt==2862
>>
>> Variable | Type Obs Mean [95% Conf. Interval]
>> -------------+----------------------------------------------------------
>> reduct_per | Arithmetic 37 8.108108 4.152295 12.06392
>> | Geometric 12 25 25 25
>> | Harmonic 12 25 25 25
>> ------------------------------------------------------------------------
>>
>>
>>
>> On Mon, Dec 10, 2012 at 12:06 AM, Yuval Arbel <[email protected]> wrote:
>>> Eventually, I improved the system and put:the following commands:
>>>
>>> by appt: replace reduct_per=1 if reduct_per==0
>>> by appt: gen y1=exp(sum(ln(reduct_per)))
>>>
>>> I got the following table, which is exactly what I need (I don't want
>>> the geometric mean to be set to zero):
>>>
>>> . list reduct_per y3 if appt==2862
>>>
>>> +---------------------+
>>> | reduct~r y3 |
>>> |---------------------|
>>> 30. | 1 1 |
>>> 31. | 1 1 |
>>> 32. | 1 1 |
>>> 33. | 1 1 |
>>> 34. | 1 1 |
>>> |---------------------|
>>> 35. | 1 1 |
>>> 36. | 1 1 |
>>> 37. | 1 1 |
>>> 38. | 1 1 |
>>> 39. | 1 1 |
>>> |---------------------|
>>> 40. | 1 1 |
>>> 41. | 1 1 |
>>> 42. | 1 1 |
>>> 43. | 1 1 |
>>> 44. | 1 1 |
>>> |---------------------|
>>> 45. | 1 1 |
>>> 46. | 1 1 |
>>> 47. | 1 1 |
>>> 48. | 1 1 |
>>> 49. | 1 1 |
>>> |---------------------|
>>> 50. | 1 1 |
>>> 51. | 1 1 |
>>> 52. | 1 1 |
>>> 53. | 1 1 |
>>> 54. | 1 1 |
>>> |---------------------|
>>> 55. | 25 25 |
>>> 56. | 25 625 |
>>> 57. | 25 15625 |
>>> 58. | 25 390625 |
>>> 59. | 25 9765625 |
>>> |---------------------|
>>> 60. | 25 2.44e+08 |
>>> 61. | 25 6.10e+09 |
>>> 62. | 25 1.53e+11 |
>>> 63. | 25 3.81e+12 |
>>> 64. | 25 9.54e+13 |
>>> |---------------------|
>>> 65. | 25 2.38e+15 |
>>> 66. | 25 5.96e+16 |
>>> +---------------------+
>>>
>>>
>>> On Sun, Dec 9, 2012 at 11:56 PM, Nick Cox <[email protected]> wrote:
>>>> That is reasonable if and only if zero is in effect a code for missing
>>>> in your situation.
>>>>
>>>> (In terms of your earlier reference, -prod()- is a user-written -egen-
>>>> function which must be installed from
>>>>
>>>> STB-51 dm71 . . . . . . . . . . . . Calculating the product of observations
>>>> (help prod if installed) . . . . . . . . . . . . . . . . . . P. Ryan
>>>> 9/99 pp.3--4; STB Reprints Vol 9, pp.45--48
>>>> extension to egen for producing the product of observations
>>>>
>>>> Please remember to explain _where_ you obtained user-written code.)
>>>>
>>>> Nick
>>>>
>>>> On Sun, Dec 9, 2012 at 9:40 PM, Yuval Arbel <[email protected]> wrote:
>>>>> I don't have negative values, but I have zeros, in which case I can
>>>>> replace them by one and then take the -ln()-
>>>>>
>>>>> On Sun, Dec 9, 2012 at 11:31 PM, Nick Cox <[email protected]> wrote:
>>>>>> Oddly enough I was thinking earlier today about how you would
>>>>>> generalise this if any values were not positive.
>>>>>>
>>>>>> If any value is zero, then the product becomes zero; otherwise one
>>>>>> would need to separate out products of -abs()- and -sign()-.
>>>>>>
>>>>>> Nick
>>>>>>
>>>>>> On Sun, Dec 9, 2012 at 9:19 PM, Yuval Arbel <[email protected]> wrote:
>>>>>>
>>>>>>> Please ignore my previous e-mails regarding this question
>>>>>>>
>>>>>>> After a short additional search, I found a very nice (and well known)
>>>>>>> trick proposed by Nick Cox to address the problem (which, from some
>>>>>>> reason did not come to my mind):
>>>>>>>
>>>>>>> bysort group : gen prod = sum(ln(x))
>>>>>>> by group : replace prod = exp(prod[_N])
>>>>>>>
>>>>>>> On Sun, Dec 9, 2012 at 11:05 PM, Yuval Arbel <[email protected]> wrote:
>>>>>>>> P.S. According to stata's help, the details of the author of the
>>>>>>>> -prod()- function is:
>>>>>>>>
>>>>>>>> Philip Ryan
>>>>>>>> Department of Public Health
>>>>>>>> University of Adelaide
>>>>>>>> South Australia
>>>>>>>> [email protected]
>>>>>>
>>>>>>
>>>>>> On Sun, Dec 9, 2012 at 10:53 PM, Yuval Arbel <[email protected]> wrote:
>>>>>>
>>>>>>>>> I appreciate very much your assistance in the following question:,
>>>>>>>>>
>>>>>>>>> I'm looking for an equivalent function for -gen y1=sum()- which will
>>>>>>>>> calculate running product for each point in time
>>>>>>>>>
>>>>>>>>> In fact, what I would like to calculate is a running geometric mean
>>>>>>>>>
>>>>>>>>> Note also that -gen y2=prod()- does not work (i.e., stata does not
>>>>>>>>> identify the function). Only -egen y2=prod()- works, but it generates
>>>>>>>>> only one product for each panel, and this is not what I need.
>>>>>>>>>
>>>>>>>>> Finally, I tried the -amean- command,, but it simply gives summary
>>>>>>>>> statistics of different means, and it is not a function..
>>>> *
>>>> * For searches and help try:
>>>> * http://www.stata.com/help.cgi?search
>>>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>>>> * http://www.ats.ucla.edu/stat/stata/
>>>
>>>
>>>
>>> --
>>> Dr. Yuval Arbel
>>> School of Business
>>> Carmel Academic Center
>>> 4 Shaar Palmer Street,
>>> Haifa 33031, Israel
>>> e-mail1: [email protected]
>>> e-mail2: [email protected]
>>
>>
>>
>> --
>> Dr. Yuval Arbel
>> School of Business
>> Carmel Academic Center
>> 4 Shaar Palmer Street,
>> Haifa 33031, Israel
>> e-mail1: [email protected]
>> e-mail2: [email protected]
>
>
>
> --
> Dr. Yuval Arbel
> School of Business
> Carmel Academic Center
> 4 Shaar Palmer Street,
> Haifa 33031, Israel
> e-mail1: [email protected]
> e-mail2: [email protected]
--
Dr. Yuval Arbel
School of Business
Carmel Academic Center
4 Shaar Palmer Street,
Haifa 33031, Israel
e-mail1: [email protected]
e-mail2: [email protected]
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/