Re: st: Working with row percentiles and row averages

[Nick Cox <njcoxstata@gmail.com>]

Let's imagine that we have -pc10- and we want the average of all
returns less than that. The average is naturally the sum divided by
the count. So, we go

gen count = 0
gen sum = 0

quietly forval j = 1/1000 {
           replace count = count + 1 if r`j' < pc10
           replace sum = sum + r`j' if r`j' < pc10
}

gen ave10 = sum/count


There is a review at

SJ-9-1  pr0046  . . . . . . . . . . . . . . . . . . .  Speaking Stata: Rowwise
        (help rowsort, rowranks if installed) . . . . . . . . . . .  N. J. Cox
        Q1/09   SJ 9(1):137--157
        shows how to exploit functions, egen functions, and Mata
        for working rowwise; rowsort and rowranks are introduced

A .pdf is accessible at

http://www.stata-journal.com/sjpdf.html?articlenum=pr0046

If it's valuable, please cite it.
Nick
njcoxstata@gmail.com


On 9 July 2013 14:15, George Murray <george.murray16@gmail.com> wrote:
> abcde
> Dear Statalist,
>
> I am working with time series data, and my variables consist of
> monthly returns for 1000 stocks (so the variables are
> date,r1,r2,r3,...,r1000). I would like to find, for each date, the
> average return of the stocks whose return is below that of the 10th
> percentile. That is, for the 10% of stocks with the lowest returns, I
> want to compute their average, for each date.
>
> I am aware that a command such as -egen p10 = rowpctile(r1-r1000),
> p(10)- generates a variable which computes the return of the 10th
> percentile at each date, but I don’t know how to go from here to find
> the average return below the 10th percentile, for each date.
>
> Any ideas for commands would be very highly appreciated. This is the
> first time I have had to work ‘by rows’, and am very stuck with this.
>
> Thank you.
>
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