Well, sure, but from the initial request "...I want to calculate the total
mean..." I did not pick up that she wanted what you are proposing...
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Kit Baum
Sent: Thursday, October 16, 2008 1:58 PM
To: [email protected]
Subject: st: re: weighted daily mean
<>
Martin said
Would not - egen trademeantot=mean(trade)- be a shortcut to the desired
result, i.e. why go through the daily mean to arrive at the overall
mean?
No. If the point is that each day there is a mean value, you now have
a daily timeseries, and you want the mean of that series. If the
underlying microdata encompass widely differing numbers of trades per
day (as Nick has suggested), then the 'overall mean' can only be
calculated from the microdata by using appropriate weights. The mean
of daily means assigns equal weights to each day, which implies that a
weight of 1/(N_t) is being applied to each trade, where N_t is the
number of trades on day t. If you calculated the right weight vector,
the weighted mean of individual trades would equal the 'overall mean'
calculated from equally-weighted daily observations, but not otherwise.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
