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MVSUMM: Stata module to generate moving-window descriptive statistics in time series or panel

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Author Info

  • Nicholas J. Cox

    ()
    (Durham University)

  • Christopher F Baum

    ()
    (Boston College)

Abstract

mvsumm computes a moving-window descriptive statistic for tsvar which must be a time series variable under the aegis of tsset. If a panel calendar is in effect, the statistic is calculated for each time series within the panel. The moving-window statistic is placed in a new variable, specified with the generate() option. The statistics available include minimum, maximum, other key percentiles, mean and standard deviation: one of these and/or other statistics returned by summarize, or easily computable from what it returns, may be specified. aweights or fweights may be specified. Although mvsumm works with unbalanced panels (where the start and/or end points differ across units), it 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 the tsfill command. mvsumm7 may be used by Stata 7 users.

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File URL: http://fmwww.bc.edu/repec/bocode/m/mvsumm.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvsumm.hlp
File Function: help file
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvsumm7.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/m/mvsumm7.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S426401.

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Programming language: Stata
Requires: Stata version 8.0 (7.0 for mvsumm7)
Date of creation: 23 Jul 2002
Date of revision: 14 Nov 2007
Handle: RePEc:boc:bocode:s426401

Note: This module may be installed from within Stata by typing "ssc install mvsumm". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: descriptive statistics; moving window; time series; volatility;

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