st: Working with row percentiles and row averages

[George Murray <george.murray16@gmail.com>]

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Dear Statalist,

I am working with time series data, and my variables consist of
monthly returns for 1000 stocks (so the variables are
date,r1,r2,r3,...,r1000). I would like to find, for each date, the
average return of the stocks whose return is below that of the 10th
percentile. That is, for the 10% of stocks with the lowest returns, I
want to compute their average, for each date.

I am aware that a command such as -egen p10 = rowpctile(r1-r1000),
p(10)- generates a variable which computes the return of the 10th
percentile at each date, but I don’t know how to go from here to find
the average return below the 10th percentile, for each date.

Any ideas for commands would be very highly appreciated. This is the
first time I have had to work ‘by rows’, and am very stuck with this.

Thank you.

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