help rollstat

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Title

       rollstat -- Rolling-window statistics for time series or panel data


Syntax

        rollstat [varlist] [if] [in] , statistic(statname) [ options ]

    options                   Description
    -------------------------------------------------------------------------
    Main
      statistic(statname)     report specified statistic (required option).

    Options
      w(#)                    number of consecutive data points in each
                                sample (it should be an integer grater than
                                one), default w(3).
      force                   forces results to be computed when some of a
                                particular window's values are missing.
    -------------------------------------------------------------------------
    User must tsset for time series or panel data before using rollstat; see
      [TS] tsset.



        statname       definition
        ---------------------------------------------------------------------
        mean            mean
        sum             sum
        sd              standard deviation
        Var             variance
        min             minimum
        max             maximum
        N               count of nonmissing observations
        ---------------------------------------------------------------------


Description

    rollstat generates a new variable named _`statistic´`w´_varname (i.e.
    _sd3_gdp for the 3 period standard deviation of GDP) containing the
    rolling calculation of the specified statistic (under the aegis of tsset)
    with window size defined in option w.  Results are placed at the end of
    the window. Although rollstat works with unbalanced panels (where the
    start and/or end points differ across units), rollstat does not allow
    gaps within the observations of a time series; that is, the value of an
    observation for a given period may be missing, but the observation itself
    must be defined. Gaps in time series may be dealt with via tsfill; see
    [TS] tsfill.


        +---------+
    ----+ Options +----------------------------------------------------------

    w(#) defines the window size. If there are missing data, the actual
        number of observations used by rollstat may be less than w(#).

    force forces results to be computed when some of a particular window's
        values are missing (and data has at least two observations).  when
        force is set, rollstat starts accumulating from the first two
        observations of the sample until it reaches the desired window size.
        Then it continues with the defined window size to the end of sample.

Examples

    . tsset year, y

    . rollstat gdp cpi, s(sd)
    . rollstat gdp, s(mean) w(5)
    . rollstat gdp, s(sd) force

Acknowledgements     

We acknowledge useful advice of Christopher F. Baum on previous version of this
>  routine.

Authors

Maximo Sangiacomo & Demian Panigo
Email:  msangia@hotmail.com
Email:  panigo@gmail.com