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| From | Yuval Arbel <yuval.arbel@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Running Product Function |
| Date | Mon, 10 Dec 2012 20:09:07 +0200 |
As for the first example, I meant that in the 26th period the index will still remains 1 as reduct_per=25 appears at the first time, and starting from the 27th period it will be 2,3,.. etc. On Mon, Dec 10, 2012 at 8:02 PM, Yuval Arbel <yuval.arbel@gmail.com> wrote: > Thanks Nick and Kit. > > Now I have a complementary question: > > I would like to generate an index variable for the calculation of the > geometrical mean (namely, the exponent, which makes the product a > geometrical mean). The problem is that for reduct_per==0 I would like > the index to become a constant and remain the same until the next > reduct_per, which is different from zero, comes. > > Consider the example above: during the first 25 periods the index > should be one and and starting from the 26th period it should change > to 2,3 etc. > > If, on the other hand, we would have opposite descending trail (namely > 25 percent reduction rate from 1-25 and zero starting from the 26th > period), the index should be 1, 2,..,25 and becomes a constant 25 from > the 26th period. > > What is the simplest way to generate such an index? Can it be done > without a loop? > > On Mon, Dec 10, 2012 at 12:57 AM, Nick Cox <njcoxstata@gmail.com> wrote: >> I mean I disagree with the idea of using a harmonic mean here. >> >> On Sun, Dec 9, 2012 at 10:54 PM, Nick Cox <njcoxstata@gmail.com> wrote: >>> I disagree. The geometric mean fits with the idea that log scale is a >>> natural scale for analysis, which is true of compound growth >>> processes. The harmonic mean doesn't and it is not defined either for >>> zeros. >>> >>> Nick >>> >>> On Sun, Dec 9, 2012 at 10:41 PM, Yuval Arbel <yuval.arbel@gmail.com> wrote: >>>> 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 <yuval.arbel@gmail.com> wrote: >>>>> Thanks Nick. That was very helpful. >>>>> >>>>> On Mon, Dec 10, 2012 at 12:14 AM, Yuval Arbel <yuval.arbel@gmail.com> 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 <yuval.arbel@gmail.com> 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 <njcoxstata@gmail.com> 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 <yuval.arbel@gmail.com> 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 <njcoxstata@gmail.com> 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 <yuval.arbel@gmail.com> 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 <yuval.arbel@gmail.com> 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 >>>>>>>>>>>> pryan@medicine.adelaide.edu.au >>>>>>>>>> >>>>>>>>>> >>>>>>>>>> On Sun, Dec 9, 2012 at 10:53 PM, Yuval Arbel <yuval.arbel@gmail.com> 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: yuval.arbel@carmel.ac.il >>>>>>> e-mail2: yuval.arbel@gmail.com >>>>>> >>>>>> >>>>>> >>>>>> -- >>>>>> Dr. Yuval Arbel >>>>>> School of Business >>>>>> Carmel Academic Center >>>>>> 4 Shaar Palmer Street, >>>>>> Haifa 33031, Israel >>>>>> e-mail1: yuval.arbel@carmel.ac.il >>>>>> e-mail2: yuval.arbel@gmail.com >>>>> >>>>> >>>>> >>>>> -- >>>>> Dr. Yuval Arbel >>>>> School of Business >>>>> Carmel Academic Center >>>>> 4 Shaar Palmer Street, >>>>> Haifa 33031, Israel >>>>> e-mail1: yuval.arbel@carmel.ac.il >>>>> e-mail2: yuval.arbel@gmail.com >>>> >>>> >>>> >>>> -- >>>> Dr. Yuval Arbel >>>> School of Business >>>> Carmel Academic Center >>>> 4 Shaar Palmer Street, >>>> Haifa 33031, Israel >>>> e-mail1: yuval.arbel@carmel.ac.il >>>> e-mail2: yuval.arbel@gmail.com >>>> * >>>> * 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/ >> * >> * 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: yuval.arbel@carmel.ac.il > e-mail2: yuval.arbel@gmail.com -- Dr. Yuval Arbel School of Business Carmel Academic Center 4 Shaar Palmer Street, Haifa 33031, Israel e-mail1: yuval.arbel@carmel.ac.il e-mail2: yuval.arbel@gmail.com * * 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/