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Re: st: RE: generating annualized standard deviation of returns from monthly data.


From   "Ikechukwu M." <bigdoctor2004@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: generating annualized standard deviation of returns from monthly data.
Date   Thu, 27 Feb 2014 10:28:28 -0500

Thanks. Apologies for incorrect attribution to Nick Cox. What I meant
to say is that occurrence of missing values collapses to a missing,
even though I expected the missings to be ignored.
Thanks for the input - I have implemented what you both suggest and
the good news is that it resolves to the same thing so it is working
but not producing the desired output. I am ending up with missing
values even for firms that have 6 monthly observations for the year.

The collapse code I used is this:
collapse (sd) sd_return=return, by(firm year)

using bysort firm year: egen SD=sd(return)

but when I omit the year, sd is appropriately computed but for all 10
years of the data, not partitioned into years.

When I include the year, I end up with lots of missing observations.

Thanks

On Thu, Feb 27, 2014 at 4:21 AM, Nick Cox <njcoxstata@gmail.com> wrote:
> There are various "Nick"s around here. In my case, I wouldn't offer
> the explanation that the occurrence of missings will imply zero
> standard deviations with -collapse-, because it isn't true. More
> importantly, as you don't give the -collapse- code you used, we are
> reduced to speculation that somehow your -collapse- produced a
> collapse to constants, which have 0 SD.
> Nick
> njcoxstata@gmail.com
>
>
> On 27 February 2014 05:53, Ikechukwu M. <bigdoctor2004@gmail.com> wrote:
>> Thanks Kieran for your response. I tried that and it gives me all
>> zeros. I think it has to do with how stata treats missing values in
>> the collapse command. I had seen an earlier post by Nick regarding
>> this.
>>
>> I used bys firm : egen sd=sd(return) and I get values but they are not
>> partitioned by year. It gives me one SD for all the datapoints for the
>> firm.
>>
>> thanks
>>
>> On Wed, Feb 26, 2014 at 11:23 PM, Kieran McCaul
>> <kieran.mccaul@uwa.edu.au> wrote:
>>> ...
>>>
>>> Like this?
>>>
>>> clear *
>>>
>>> input firm str7 date return
>>> 1  "Jan2000"  0.875
>>> 1  "Feb2000"  1.2
>>> 1  "Mar2000"  0.9
>>> 1  "Jan2001"  0.35
>>> 1  "Feb2001"  0.98
>>> 2  "Jan2000"  1.4
>>> 2  "Feb2000"   .76
>>> 2  "Mar2000"  1.34
>>> end
>>>
>>> gen year = substr(date, 4,.)
>>>
>>> preserve
>>>
>>>    collapse (sd) sd_return=return, by(firm year)
>>>    tempfile ttt
>>>    save `ttt', replace
>>>
>>> restore
>>>
>>> merge m:1 firm year using `ttt'
>>> list
>>> bysort firm year: summ return
>>>
>>>
>>>
>>>
>>>
>>> -----Original Message-----
>>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ikechukwu M.
>>> Sent: Thursday, 27 February 2014 9:33 AM
>>> To: statalist@hsphsun2.harvard.edu
>>> Subject: st: generating annualized standard deviation of returns from monthly data.
>>>
>>> I am trying to compute standard deviation of returns for a panel data set and I am having a little difficulty.
>>>
>>> My data looks like this
>>>
>>> Firm    date                 return
>>> 1         Jan2000              0.875
>>> 1         Feb2000              1.2
>>> 1        Mar2000               0.9
>>> 1        Jan2001               0.35
>>> 1        Feb2001               0.98
>>> 2        Jan2000                1.4
>>> 2        Feb2000                .76
>>> 2        Mar2000                1.34
>>>
>>>
>>> I would like to compute the annualized standard deviation of returns for each firm and return one number for each firm in each year.
>>>
>>> Any help is greatly appreciated.
>>> Thank you very much.
>>>
>>> IK
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