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ROLLSTAT: Stata module to compute rolling-window statistics for time series or panel data

Author

Listed:
  • Maximo Sangiacomo

    (Banco Central de la República Argentina)

  • Demian Panigo

    (Paris-Jourdan Sciences Économiques (PSE))

Programming Language

Stata

Abstract

rollstat generates a 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 with window size defined in option w.

Suggested Citation

  • Maximo Sangiacomo & Demian Panigo, 2013. "ROLLSTAT: Stata module to compute rolling-window statistics for time series or panel data," Statistical Software Components S457582, Boston College Department of Economics, revised 24 Jan 2013.
  • Handle: RePEc:boc:bocode:s457582
    Note: This module should be installed from within Stata by typing "ssc install rollstat". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/r/rollstat.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/r/rollstat.sthlp
    File Function: help file
    Download Restriction: no
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