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st: mvsumm and missing observations (part 2)
Dear Kit and Nick,
thanks you for your prompt responses. I understand your concern. However, I am
applying -mvsumm- in a finance setting: I need to estimate the volatility of
stock returns using the preceding 60 months of returns. Sometimes, I have just
1 observation missing... and as long as this observation is part of the
preceding 60 months, I get no estimate of the volatility for that company's
stock (i.e. I lose 60 observations by insisting on a complete history). I am
willing to make the tradeoff between gaining 60 observations at the cost of a
slightly less reliable measure of volatility.
In your answer you suggested to clone and reprogram your original -mvsumm-. I am
not a programming whiz - do you have any pointers?
This is a common procedure in finance - I think you may underestimate the demand
for such a feature in -mvsumm- ;-)
Thanks a lot!! Jan
> Dear Stata users,
> I have a similar question to Adrian's about -mvsumm-. Unfortunately, the
> proposed solution (using -tssmooth-) doesn't work as I am interested in
> variances, not moving averages.
> How can I get create a variable that contains the variance of the five
> observations in a panel data set, even if one or two of the those preceding
> observations are missing? And how can I specify the minimum number of
> non-missing observations within the window?
> Thanks, Jan
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