st: rolling moments

[annoporci <annoporci@gmail.com>]

Dear Statalist,

I have financial data whose statistical properties I'd like to analyze.  
I'm new to this so any pointer would be appreciated.

I would like to do the following:

plot a moving average of the mean/sd/skewness/kurtosis, where either I  
would use a fixed horizon, e.g. 60 observations (add one drop one as you  
move with time) or I would use exponentially declining weights on distant  
observations, for a fixed predetermined weight parameter.

I have found user-contributed programs to do that for the mean/sd, but not  
for the skewness and kurtosis. I'm especially interested in the kurtosis.  
In fact, I would like to also compute semi-kurtosis, e.g. semi-kurtosis  
for negative returns or for returns below average.

I could probably work this out on my own by writing down the formulas in  
terms of the first 4 moments, but I have read exchanges that suggest that  
efficiency issues may be important, so I'd like to start on the right  
track, and would thus appreciate your suggestions.

my dataset has the date and the daily return for different portfolios x1,  
x2, x3, etc. over a 30 year period, so efficiency in the code is likely to  
be necessary.

many thanks,

Patrick.

my main reference:
http://www.stata.com/statalist/archive/2008-08/msg00153.html
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/