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| From | Steve Nakoneshny <scnakone@ucalgary.ca> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: Creating Standard Deviation variable for daily panel data (stock returns) |
| Date | Wed, 3 Jul 2013 11:25:59 -0600 |
Chris, You could create a month var via -g month=month(date)- and then substitute month into your -egen- statement. Steve On 2013-07-03, at 11:13 AM, C. Evans wrote: > Dear Nick > > I would like standard deviation values of returns calculated for each id > each month. So I would have a value of 0.2 everyday in one month for id=1 > and then the 2nd month a different standard deviation. I should see a > different SD each month and for each different Id - probably. > > I'm not very good at explaining > > Thanks, > Chris > > On Jul 3 2013, Nick Cox wrote: > >> I missed in this a statement of what you _do_ want. If you have a >> block of values for which you calculate the SD, it's necessarily the >> same result for all observations contributing. >> >> But Stata won't take account of missing values it does not have. >> >> Nick >> njcoxstata@gmail.com >> >> On 3 July 2013 17:37, C. Evans <ce306@cam.ac.uk> wrote: >> >>> I've been using the command egen sdreturn3 = sd(return), by(date) to >>> try and create a new variable that takes the standard deviation of >>> return for that month or even that day. This gives me the same sd for >>> every id at that date (which I don't want) >>> >>> my panel looks like this >>> >>> id date returns >>> 1 01Jan1964 0.1 >>> 1 02Jan1964 0.12 >>> 1 03Jan1964 0.05 >>> 2 01Jan1964 0.3 >>> 2 02Jan1964 0.25 2 03Jan1964 0.1 >>> 3 01Jan1964 -0.1 >>> 3 02Jan1964 -0.2 >>> 3 03Jan1964 -0.3 >>> >>> Hopefully the format has turned out OK. The values are just there for an >>> example. >>> >>> Also, does it matter when I use xtset, id date, daily that I am using >>> business data and thereore the weekends are not included in my dataset >> * >> * 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/ >> > * > * 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/ * * 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/