Daniele--
This doesn't answer your precise question, but may give you a simpler
approach. In the paper "Riffenburgh RH, Cummins KM. A simple and general
change point identifier. Statistics in Medicine, 2006, 25(6):1067-1077",
a moving variance is used to identify change points. (The insertion of a
root will make it a moving standard deviation.) Buried in the paper is a
little algorithm for doing this simply that can be done in Stata or
Excel or other packages. (To be specific, the method uses a moving F
statistic, but the denominator variance is fixed, so that it is
essentially a constant times a moving variance.) I hope this helps.
--Bob
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of
[email protected]
Sent: Wednesday, October 10, 2007 12:18 AM
To: statalist
Subject: st: moving standard deviation (panel data)
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.
Best wishes,
Daniele,
Ph.D candidate,
University of Rome III (Italy)
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