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st: Rolling Means and Standard Deviations
From
David Ashcraft <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Rolling Means and Standard Deviations
Date
Wed, 30 Nov 2011 04:40:37 -0800 (PST)
Hi Statalist:
I am trying to find the rolling mean and standard deviation. I know that I can use -rolling- command but somehow lost my track. Please see the example below:
use http://www.stata-press.com/data/r11/ibm
tsset t
generate ibmadj = ibm - irx
generate spxadj = spx - irx
now I want to generate means and standard deviation of both ibmadj and spxadj with window of 200 days. I looked in the Stata manual, it mentioned about the command. I believe, I should do the following:
rolling _sd, window(200) saving(means, replace) keep(date): gen sd=r(sd)
rolling _mean, window(200) saving(means, append) keep(date): gen mean=r(mean)
But this is not working. Any help will be greatly appreciated.
Regards
David
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