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From |
Nick Cox <njcoxstata@gmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

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

Date |
Thu, 27 Feb 2014 15:47:58 +0000 |

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 njcoxstata@gmail.com On 27 February 2014 15:28, Ikechukwu M. <bigdoctor2004@gmail.com> 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 <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 >>>> 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. * * 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:*"Ikechukwu M." <bigdoctor2004@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>

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

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