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From | "C. Evans" <ce306@cam.ac.uk> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: Creating Standard Deviation variable for daily panel data (stock returns) |
Date | 03 Jul 2013 17:37:34 +0100 |
Dear SatalistI've been using the command egen sdreturn3 = sd(return), by(date) to try and create a new variable that takes the standard deviation of return for that month or even that day. This gives me the same sd for every id at that date (which I don't want)
my panel looks like this id date returns 1 01Jan1964 0.1 1 02Jan1964 0.12 1 03Jan1964 0.05 2 01Jan1964 0.32 02Jan1964 0.25 2 03Jan1964 0.1
3 01Jan1964 -0.1 3 02Jan1964 -0.2 3 03Jan1964 -0.3Hopefully the format has turned out OK. The values are just there for an example.
Also, does it matter when I use xtset, id date, daily that I am using business data and thereore the weekends are not included in my dataset
Thanks a lot in advance, Chris Evans * * 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/