Missing values when calculate standard deviations

[Jessica Guo]

My data is an unbalanced panel data.
id: wficn (to uniquely identify each mutual fund)
yrqt: the time variable, such as 1998q1,1998q2,1998q3,...etc.
and key variable:
x: fund style characteristics, x has many missings, the values of x range from 1 to 5.

What I want to do is to calculate the standard deviation of variable x for past 12 quarters, call the new variable std_x


in order to make the standard deviation not noisy, I need to require that for each fund, quarter, it has non-missing x for the past 12 quarters,
for those that have missings, I will not calculate the vales for std_x, I just let it be missing too.

say, for example, for fund i, for quarter 2000q1, for past 12 quarters, it has only 2 (<12) non-missing x, I will not use that two non-missing values to calculate the standard deviation for x, I will let std_x be missing too.

wficn	yrqt	x	std_x
0001	1998q1	1	.
0001	1998q2	2	.
0001	1998q3	3	.
0001	1998q4	2	.
0001	1999q1	1	.
0001	1999q2	2	.
0001	1999q3	1	.
0001	1999q4	2	.
0001	2000q1	2	.
0001	2000q2	1	.
0001	2000q3	2	.
0001	2000q4	2	.
0001	2001q1	2	some number
0001	2001q2	.	.
0001	2001q3	1	.
0001	2001q4	2	.
0001	2002q1	.	.
0001	2002q2	3	.
0001	2002q3	4	.

My question is how to calculate this standard deviation?

[Clyde Schechter]

The new program -tsegen- by Robert Picard and Nick Cox should make short work of this. You can get it with -ssc install tsegen-, and then read the help.

[Jessica Guo]

Thank you so much , professor Schechter!
I tried the following code,
bysort wficn (yrqt): tsegen std_x = rowsd(L(1/12).x,12) //To require a 12 quarter minimum non missing

but I got the following error msg:
tsegen may not be combined with by

Should I just use the code below?
tsegen std_x = rowsd(L(1/12).x,12) //To require a 12 quarter minimum non missing

[Clyde Schechter]

Yes, the help file for -tsegen- clearly states that you cannot use the -by- prefix, and it does not support a -by- option. All of the -by-like work it does is controlled by the -tsset-. So your proposed code looks right to me. Just make sure you have -tsset wficn yrqt- first.

[Jessica Guo]

Hi, Professor Schechter, THANK YOU SO MUCH!