Volatility of country- and industry-adjusted return on asset(ROA)

[Umit Yilmaz]

Hello,
I am trying to measure the volatility of country- and industry-adjusted return on asset (σ(ROA)). For each year, I have to compute the difference between a firm’s ROA and the average ROA across all firms in the same four-digit SIC industry and from the country in which the company is registered.
For the cross-sectional regressions, I calculate the standard deviation of the adjusted return on asset for each firm over the entire sample period (1999–2007):

egen averageroa=mean(roa), by(industry country)
bys FirmName (year): gen diff=roa-averageroa
bys FirmName (year):egen vol=sd(diff)

For the panel regressions, I have to measure the standard deviation of the adjusted return on asset for each firm over five-year overlapping periods (1999–2003, 2000–2004, 2001–2005, 2002–2006, and 2003–2007). How can I do that in stata?
Thank you.
Yilmaz

[Clyde Schechter]

If I understand what you want to do, -stegen- will get it for you. -stegen- is a user-written command (Robert Picard & Nick Cox) that you can get from SSC (-ssc install stegen-; then see the help file for how to use it.)

[Attaullah Shah]

The correct spelling is xtegen. You can also use asrol from ssc.

[Nick Cox]

Attaullah's correction is also incorrect. I am confident that Clyde meant tsegen (SSC).

On asrol (SSC): readers can search the forum for discussions of asrol and tsegen. As I understand it, tsegen can do everything that asrol can do, but the converse is not true. So tsegen supports windows of any kind, not just of a specified number of previous values; it supports a wider range of statistics; and it allows users to specify unequal weights. There is a different default on what to do with incomplete windows, but users can choose the same behaviour.

[Clyde Schechter]

Yes, I did mean tsegen. It was a typo.

[Umit Yilmaz]

Thank you for all your answer and suggestion.

Regards