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From |
"Ikechukwu M." <bigdoctor2004@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: generating annualized standard deviation of returns from monthly data. |

Date |
Thu, 27 Feb 2014 10:28:28 -0500 |

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 <njcoxstata@gmail.com> 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 > njcoxstata@gmail.com > > > On 27 February 2014 05:53, Ikechukwu M. <bigdoctor2004@gmail.com> 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 >> <kieran.mccaul@uwa.edu.au> 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 >>> >>> >>> >>> >>> >>> -----Original Message----- >>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ikechukwu M. >>> Sent: Thursday, 27 February 2014 9:33 AM >>> To: statalist@hsphsun2.harvard.edu >>> 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. >>> >>> Any help is greatly appreciated. >>> Thank you very much. >>> >>> IK >>> * >>> * 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/ > * > * 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/

**Follow-Ups**:**Re: st: RE: generating annualized standard deviation of returns from monthly data.***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: generating annualized standard deviation of returns from monthly data.***From:*"Ikechukwu M." <bigdoctor2004@gmail.com>

**st: RE: generating annualized standard deviation of returns from monthly data.***From:*Kieran McCaul <kieran.mccaul@uwa.edu.au>

**Re: st: RE: generating annualized standard deviation of returns from monthly data.***From:*"Ikechukwu M." <bigdoctor2004@gmail.com>

**Re: st: RE: generating annualized standard deviation of returns from monthly data.***From:*Nick Cox <njcoxstata@gmail.com>

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