Thank you vary much Maarten. It works. The only problem is that I have the same average spread for different days, while I want the mean calculated for each centile of each day. In other words, if days are 10 I have now 100 means, while I should have 10*100 means calculated. Is it possible?
Thank you again.
----------------------------------------
> Date: Fri, 27 Mar 2009 11:39:59 +0000
> From: [email protected]
> Subject: Re: st: Calculate the average bid-ask spread for each centile
> To: [email protected]
>
>
> --- On Fri, 27/3/09, emanuele canegrati wrote:
>
>> I have a time series of bid-ask spreads, grouped in
>> centiles, with respect to trading time. Now I want to
>> calculate the average spread for each centile. The structure
>> of data is the following
>>
>> day spread hhmmss centile
>> 20080602 xxxx 090302 1
>> 20080602 xxxx 090510 1
>> ...
>> 20080602 xxxx 100408 2
>> 20080602 xxxx 100908 2
>> ...
>> 20080602 xxxx 160007 100
>> 20080602 xxxx 160107 100
>> ...
>> 20080603 xxxx 090302 1
>> 20080603 xxxx 090510 1
>> ...
>> 20080603 xxxx 100408 2
>> 20080603 xxxx 100908 2
>> ...
>> 20080603 xxxx 160007 100
>> 20080603 xxxx 160107 100
>> ...
>>
>> What is the loop I have to write?
>
> no loop necesary:
>
> bys centile : egen mspread = mean(spread)
>
> Hope this helps,
> Maarten
>
> -----------------------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
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