How to use "rolling" for computing rolling standard deviation

[SteveK]

I just installed this, but cannot seem to get it to run. I have an unbalanced panel data set of about 2 million monthly stock returns. My objective is to compute the standard deviation of the previous 12 months of returns at each point for each issue (permno variable identifies each security). I'd like to generate this rolling standard deviation as a new variable. Any ideas on what the proper syntax would be are greatly appreciate.

[Attaullah Shah]

You can install mvsumm from ssc, this can help you if you not balanced panel
Regards
Attaullah Shah

[Nick Cox]

SteveK: rolling is part of official Stata. There should not be any sense in which you can install it except by installing Stata.

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