Re: st: creating moving averages for long periods

[Mihaly Fazekas <misi.fazekas@gmail.com>]

Thanks a lot Nick for the quick and clear response. It works fine.

Actually, I only need running sums rather than running averages (I
referred to averages in my post cause I thought that was a more
standard problem). Your code works perfectly for running sums after
removing the parts ismiss and count parts.

Best,
Mihaly

> 2013/7/11 Nick Cox <njcoxstata@gmail.com>:
>> An alternative approach follows from the ideas I posted a few days ago at
>>
>> http://www.stata.com/statalist/archive/2013-07/msg00192.html
>>
>> but I have to say that your infill zeros should be missings -- or
>> should just be dropped
>>
>> This is a sketch. Watch out for fencepost errors (off by one)
>>
>> local y sz_s_iw_perd_sum
>> gen byte ismiss = missing(`y')
>> bysort panel (time) : gen sum = sum(`y' ) - sum(L364.y)
>> by panel : gen count = sum(ismiss) - sum(L364.ismiss)
>> gen mave = sum/count
>>
>> You refer to the -egen- function -filter()-, which is from -egenmore- (SSC).
>>
>> Nick
>> njcoxstata@gmail.com
>>
>> On 11 July 2013 15:03, Mihaly Fazekas <misi.fazekas@gmail.com> wrote:
>>
>>> I am Mihaly Fazekas from the University of Cambridge working on a
>>> panel database containing daily data on companies' new contracts
>>> concluded for a period of several years.
>>>
>>> I want to calculate a 12 months running average of each company's
>>> contract volume (I will actually want total contract volumes but that
>>> is a simple multiplication once the average is obtained).
>>> Unfortunately, no running mean technique works as my time-span is too
>>> long (365 days). I tried the following three approaches without
>>> success:
>>>
>>> tssmooth ma sz_s_iw_sum12=sz_s_iw_perd_sum, w(364 1)
>>> egen sz_s_iw_sum12 = filter(sz_s_iw_perd_sum), lags(-364/0)
>>> by iw_id : gen sz_s_iw_sum12
>>> =L364.sz_s_iw_perd_sum+L363.sz_s_iw_perd_sum+...+sz_s_iw_perd_sum
>>>
>>> where sz_s_iw_sum12 is the new variable containing the running average
>>> for each day and sz_s_iw_perd_sum is the daily contract value for each
>>> firm in my panel. The panel is unbalanced, but I filled it in with 0-s
>>> where no contract was concluded. I am using stata 12. I have several
>>> thousand firms in the panel so efficiency of calculations is
>>> imperative.
>> *
>> *   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/
>
>
>
> --
> Mihály Fazekas
> PhD candidate
> University of Cambridge, UK
> Faculty of Politics, Psychology, Sociology and International Studies
> www.mihalyfazekas.eu

*
*   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/