webuse grunfeld, clear
ren com id
ren year yr
tsset id yr
g c=d.mval
la var c "Change in mvalue"
bys id (yr): g sc=sqrt((c^2+l.c^2+l2.c^2)/3-((c+l.c+l.c)/3)^2)
* Optional correction (pop sd vs sample sd):
replace sc=sqrt(3/2)*sc
la var sc "SD of change in mvalue over prior 3 yrs"
and see -help tsvarlist- for more.
On 10/10/07, [email protected] <[email protected]> wrote:
> Hi,
>
> I know this should be simple but I just don't know what commands I have to type in order to get Stata 9.2 to run a moving 'standard deviation' for one variable of my panel (2892 companies, years: 1995:2005). Basically, the new variable should be measured as the standard deviation of the change in 'earnings' over a three-year period. I wish to measure the changes from year t-3 until year t. Whenever (randomly, for some years) there are no data available, no standard deviation is computed. That's all.
> I have been advised to use -rolling- but, after vain attempts to follow Manual's suggestions (and not much help from searches on previous similar threads, too), still I can't figure out the precise commands and options I need.
> I shall really appreciate some help (an example, I hope) to make the calculation. Thank you in advance.
>
*
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