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Re: st: RE: generating annualized standard deviation of returns from monthly data.
From
"Ikechukwu M." <[email protected]>
To
[email protected]
Subject
Re: st: RE: generating annualized standard deviation of returns from monthly data.
Date
Thu, 27 Feb 2014 13:24:43 -0500
Thank you! That did it.
I appreciate all the help.
IK
On Thu, Feb 27, 2014 at 12:13 PM, Nick Cox <[email protected]> wrote:
> You are using the name -year- but that name is wildly misleading here.
>
> The values of year are, it seems, individual daily dates.
>
> The key point of -collapse, by(firm year)- is how many observations
> there are for each _distinct_ combination of -firm- and -year-. For
> your sample data shown here all the groups are represented by _single_
> observations, with the result explained earlier, the SD is returned as
> missing (because sample size - 1 is 0).
>
> You have to produce a true "year" variable for what you want to work,
> e.g. by using -yofd()-.
>
> Nick
> [email protected]
>
>
> On 27 February 2014 16:56, Ikechukwu M. <[email protected]> wrote:
>> Thank you.
>>
>> here is what I get when I perform either of the two commands.
>>
>> I agree that without the year grouping variable there should be one sd
>> returned per firm. It is including the year grouping variable that
>> messes things up.
>>
>>
>> year tic return sd_return
>> 78. 31jan2000 0183B -10.71428571 .
>> 79. 29feb2000 0183B 48 .
>> 80. 31mar2000 0183B -29.72972973 .
>> ------------------------------------------------
>> 81. 30apr2000 0183B 7.692307692 .
>> 82. 31may2000 0183B -17.85714286 .
>> 83. 30jun2000 0183B 39.13043478 .
>> 84. 31jul2000 0183B -18.75 .
>> 85. 31aug2000 0183B 61.53846154 .
>> ------------------------------------------------
>> 86. 30sep2000 0183B -33.33333333 .
>> 87. 31oct2000 0183B 14.28571429 .
>> 88. 30nov2000 0183B -18.75 .
>> 89. 31dec2000 0183B -7.692307692 .
>> 90. 31jan2001 0183B 37.5 .
>> ------------------------------------------------
>> 91. 28feb2001 0183B -27.27272727 .
>> 92. 31mar2001 0183B 50 .
>> 93. 30apr2001 0183B -18.22222222 .
>> 94. 31may2001 0183B 25 .
>> 95. 30jun2001 0183B -6.086956522 .
>> ------------------------------------------------
>> 96. 31jul2001 0183B -20.83333333 .
>> 97. 31aug2001 0183B 2.339181287 .
>> 98. 30sep2001 0183B -22.85714286 .
>> 99. 31oct2001 0183B 39.25925926 .
>> 100. 30nov2001 0183B -20.21276596 .
>> ------------------------------------------------
>> 101. 31dec2001 0183B -.6666666667 .
>> 102. 31jan2002 0183B 9.395973154 .
>> 103. 28feb2002 0183B 0 .
>> 104. 31jan2000 0223B 0 .
>> 105. 29feb2000 0223B 5.551515152 .
>> ------------------------------------------------
>> 106. 31mar2000 0223B 1.447178003 .
>> 107. 30apr2000 0223B .4279600571 .
>> 108. 31may2000 0223B 0 .
>> 109. 31jan2000 0226B 0 .
>> 110. 29feb2000 0226B 0 .
>> ------------------------------------------------
>> 111. 31mar2000 0226B 0 .
>> 112. 30apr2000 0226B 0 .
>> 113. 31may2000 0226B 800 .
>> 114. 30jun2000 0226B -33.33333333 .
>> 115. 31jul2000 0226B 0 .
>> ------------------------------------------------
>> 116. 31aug2000 0226B 0 .
>>
>>
>> This result is obtained from bysort firm year: egen SD=sd(return)
>>
>> Thanks again.
>>
>> IK
>>
>> On Thu, Feb 27, 2014 at 10:47 AM, Nick Cox <[email protected]> wrote:
>>> If you don't specify the year as a grouping variable, then values for
>>> different years are lumped together; that is precisely as it should
>>> be.
>>>
>>> Otherwise, I can't make sense of the claim that you get missing for SD
>>> with (e.g.) 6 non-missing values. -collapse- produces a missing SD if
>>> all values (or all but one) values are missing in a group, but not
>>> otherwise. (The "all but one" follows from the use of (n - 1) rather
>>> than n in the formula for SD, n being sample size as usual.)
>>>
>>> If you were expecting that missing values would be omitted from the
>>> -collapse- results, that expectation was incorrect.
>>>
>>> To make clear your perceived problem, we need to see data and output,
>>> e.g. for examples like that below.
>>>
>>> . clear
>>>
>>> . input firm year return
>>>
>>> firm year return
>>> 1. 1 2000 0.875
>>> 2. 1 2000 1.2
>>> 3. 1 2000 0.9
>>> 4. 1 2000 0.35
>>> 5. 1 2000 0.98
>>> 6. 1 2000 1.4
>>> 7. 1 2000 .
>>> 8. 1 2000 .
>>> 9. 1 2000 .
>>> 10. 1 2000 .
>>> 11. 1 2000 .
>>> 12. 1 2000 .
>>> 13. 1 2001 .
>>> 14. 1 2001 .
>>> 15. end
>>>
>>> . collapse (sd) return, by(firm year)
>>>
>>> . list
>>>
>>> +------------------------+
>>> | firm year return |
>>> |------------------------|
>>> 1. | 1 2000 .3560957 |
>>> 2. | 1 2001 . |
>>> +------------------------+
>>>
>>> Nick
>>> [email protected]
>>>
>>>
>>> On 27 February 2014 15:28, Ikechukwu M. <[email protected]> wrote:
>>>> Thanks. Apologies for incorrect attribution to Nick Cox. What I meant
>>>> to say is that occurrence of missing values collapses to a missing,
>>>> even though I expected the missings to be ignored.
>>>> Thanks for the input - I have implemented what you both suggest and
>>>> the good news is that it resolves to the same thing so it is working
>>>> but not producing the desired output. I am ending up with missing
>>>> values even for firms that have 6 monthly observations for the year.
>>>>
>>>> The collapse code I used is this:
>>>> collapse (sd) sd_return=return, by(firm year)
>>>>
>>>> using bysort firm year: egen SD=sd(return)
>>>>
>>>> but when I omit the year, sd is appropriately computed but for all 10
>>>> years of the data, not partitioned into years.
>>>>
>>>> When I include the year, I end up with lots of missing observations.
>>>>
>>>> Thanks
>>>>
>>>> On Thu, Feb 27, 2014 at 4:21 AM, Nick Cox <[email protected]> wrote:
>>>>> There are various "Nick"s around here. In my case, I wouldn't offer
>>>>> the explanation that the occurrence of missings will imply zero
>>>>> standard deviations with -collapse-, because it isn't true. More
>>>>> importantly, as you don't give the -collapse- code you used, we are
>>>>> reduced to speculation that somehow your -collapse- produced a
>>>>> collapse to constants, which have 0 SD.
>>>>> Nick
>>>>> [email protected]
>>>>>
>>>>>
>>>>> On 27 February 2014 05:53, Ikechukwu M. <[email protected]> wrote:
>>>>>> Thanks Kieran for your response. I tried that and it gives me all
>>>>>> zeros. I think it has to do with how stata treats missing values in
>>>>>> the collapse command. I had seen an earlier post by Nick regarding
>>>>>> this.
>>>>>>
>>>>>> I used bys firm : egen sd=sd(return) and I get values but they are not
>>>>>> partitioned by year. It gives me one SD for all the datapoints for the
>>>>>> firm.
>>>>>>
>>>>>> thanks
>>>>>>
>>>>>> On Wed, Feb 26, 2014 at 11:23 PM, Kieran McCaul
>>>>>> <[email protected]> wrote:
>>>>>>> ...
>>>>>>>
>>>>>>> Like this?
>>>>>>>
>>>>>>> clear *
>>>>>>>
>>>>>>> input firm str7 date return
>>>>>>> 1 "Jan2000" 0.875
>>>>>>> 1 "Feb2000" 1.2
>>>>>>> 1 "Mar2000" 0.9
>>>>>>> 1 "Jan2001" 0.35
>>>>>>> 1 "Feb2001" 0.98
>>>>>>> 2 "Jan2000" 1.4
>>>>>>> 2 "Feb2000" .76
>>>>>>> 2 "Mar2000" 1.34
>>>>>>> end
>>>>>>>
>>>>>>> gen year = substr(date, 4,.)
>>>>>>>
>>>>>>> preserve
>>>>>>>
>>>>>>> collapse (sd) sd_return=return, by(firm year)
>>>>>>> tempfile ttt
>>>>>>> save `ttt', replace
>>>>>>>
>>>>>>> restore
>>>>>>>
>>>>>>> merge m:1 firm year using `ttt'
>>>>>>> list
>>>>>>> bysort firm year: summ return
>>>
>>>>>>> From: [email protected] [mailto:[email protected]] On Behalf Of Ikechukwu M.
>>>>>>> Sent: Thursday, 27 February 2014 9:33 AM
>>>>>>> To: [email protected]
>>>>>>> Subject: st: generating annualized standard deviation of returns from monthly data.
>>>>>>>
>>>>>>> I am trying to compute standard deviation of returns for a panel data set and I am having a little difficulty.
>>>>>>>
>>>>>>> My data looks like this
>>>>>>>
>>>>>>> Firm date return
>>>>>>> 1 Jan2000 0.875
>>>>>>> 1 Feb2000 1.2
>>>>>>> 1 Mar2000 0.9
>>>>>>> 1 Jan2001 0.35
>>>>>>> 1 Feb2001 0.98
>>>>>>> 2 Jan2000 1.4
>>>>>>> 2 Feb2000 .76
>>>>>>> 2 Mar2000 1.34
>>>>>>>
>>>>>>>
>>>>>>> I would like to compute the annualized standard deviation of returns for each firm and return one number for each firm in each year.
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