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st: Standard deviation for trailing x months
From
Nick K <[email protected]>
To
[email protected]
Subject
st: Standard deviation for trailing x months
Date
Tue, 29 Nov 2011 16:21:10 +0100
Hi,
I have panel data with observations per firm for a number of months. I
want to calculate the standard deviation of returns over 60 months
preceding the sample year. For example, to calculate the value for
1993 I want to calculate the sd for period between Jan 1988 and Dec
1992.
I know how to calculate it for all years for 1 firm:
bys company date: egen sd=sd(return)
Doing it for subsamples within each firm is harder. I can imagine that
if I generated a group variable for each "block" (e.g. observations
between Jan 1988 and Dec 1992 are 1, next block is 2 and so on) I
could use the above command, but I don't know how to generate these
groups either.
Thank you
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