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Re: st: Creating Standard Deviation variable for daily panel data (stock returns)


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Creating Standard Deviation variable for daily panel data (stock returns)
Date   Wed, 3 Jul 2013 17:43:49 +0100

I missed in this a statement of what you _do_ want. If you have a
block of values for which you calculate the SD, it's necessarily the
same result for all observations contributing.

But  Stata won't take account of missing values it does not have.

Nick
njcoxstata@gmail.com

On 3 July 2013 17:37, C. Evans <ce306@cam.ac.uk> wrote:

> I'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    0.3
> 2   02Jan1964    0.25 2   03Jan1964    0.1
> 3   01Jan1964    -0.1
> 3   02Jan1964    -0.2
> 3   03Jan1964    -0.3
>
> Hopefully 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
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