----- Original Message -----
From: "Jonathan M. McGaharan" <[email protected]>
To: <[email protected]>
Sent: Wednesday, May 21, 2003 2:14 PM
Subject: st: Moving Averages
> I am trying to construct a moving average variable in a panel data set.
Can anyone give me some advice? I want a variable that is the average of the
previous X prices. So far the only solutions I have come up with take way
too much time to compute for even the previous 5 obs, much less the 200 I
want. The other problem is I need to restrict the averages so they dont
cross over into another panel
>
>
> thanks so much!
>
> jon * * For searches and help try: *
http://www.stata.com/support/faqs/res/findit.html *
http://www.stata.com/support/statalist/faq *
http://www.ats.ucla.edu/stat/stata/
Jon,
-findit moving average- brings up, in part,
[TS] tssmooth ma . . . . . . . . . . . . . . . . . . Moving-average
filter
(help tssmooth_ma)
FAQ . . . . . . . . . . . . . . . . . . . . Moving averages for panel
data
. . . . . . . . . . . . . . . . . . . . . . . N. J. Cox and C. F.
Baum
12/01 How can I calculate moving averages for panel data?
http://www.stata.com/support/faqs/stat/moving.html
There is also -egen , filter- part of Nick Cox's -egenmore-
tssmooth ma price_ma = price, window(200) would produce a 200 lagged period
moving average.
At least on my old windows 98 machine calculating a 200 period lag moving
average over 100 panels took a about 200 seconds.
. set obs 100
obs was 0, now 100
r; t=0.00 20:26:08
. gen id = _n
r; t=0.00 20:26:10
. expand 500
(49900 observations created)
r; t=0.00 20:26:10
. bysort id: gen price = uniform()
r; t=0.22 20:26:12
. by id: gen time = _n
r; t=0.06 20:26:12
. tsset id time
panel variable: id, 1 to 100
time variable: time, 1 to 500
r; t=0.49 20:26:14
. tssmooth ma price_ma = price, window(200)
The smoother applied was
by id : (1/200)*[x(t-200) + x(t-199) + x(t-198) + x(t-197) + x(t-196) +
x(t-195) + x(t-194) + x(t-193) + x(t-192) + x(t-191) +
x(t-190) + x(t-189) + x(t-188) + x(t-187) + x(t-186) + x(t-185) +
x(t-184) + x(t-183) + x(t-182) + x(t-181) + x(t-180) + ...; x(t)=
price r; t=197.51 20:29:32
Hope this helps,
Scott
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
