estimating lagged standard deviation of past three years

[Sanaullah Farooq]

I have a panel data setting. I want to create another variable i.e. the standard deviation of investment from t-3 to t-1. In other words a new variable must compute the standard deviation of investment in past three years. please help.

My data looks as follows:

* Example generated by -dataex-. To install: ssc install dataex
clear
input int unitid str18 firmid int time float Investment
1 "0876711D LN Equity" 2003           .
1 "0876711D LN Equity" 2004           .
1 "0876711D LN Equity" 2005           .
1 "0876711D LN Equity" 2006           .
1 "0876711D LN Equity" 2007           .
1 "0876711D LN Equity" 2008           .
1 "0876711D LN Equity" 2009   .04298013
1 "0876711D LN Equity" 2010 -.016369443
1 "0876711D LN Equity" 2011 -.012404328
1 "0876711D LN Equity" 2012  -.05723596
1 "0876711D LN Equity" 2013           .
1 "0876711D LN Equity" 2014           .
1 "0876711D LN Equity" 2015           .
1 "0876711D LN Equity" 2016           .
1 "0876711D LN Equity" 2017           .
1 "0876711D LN Equity" 2018           .
2 "1218069D LN Equity" 2003           .
2 "1218069D LN Equity" 2004    .4360955
2 "1218069D LN Equity" 2005   .26635048
2 "1218069D LN Equity" 2006   .23388498
2 "1218069D LN Equity" 2007   .21420796
2 "1218069D LN Equity" 2008    .2275067
2 "1218069D LN Equity" 2009   .16295853
2 "1218069D LN Equity" 2010   .11736838
2 "1218069D LN Equity" 2011    .0952867
2 "1218069D LN Equity" 2012           .
2 "1218069D LN Equity" 2013           .
2 "1218069D LN Equity" 2014           .
2 "1218069D LN Equity" 2015           .
2 "1218069D LN Equity" 2016           .
2 "1218069D LN Equity" 2017           .
2 "1218069D LN Equity" 2018           .
3 "1334987D LN Equity" 2003           .
3 "1334987D LN Equity" 2004  .005009345
3 "1334987D LN Equity" 2005  .016525032
3 "1334987D LN Equity" 2006  .009007737
3 "1334987D LN Equity" 2007 .0027638024
3 "1334987D LN Equity" 2008  .025354864
3 "1334987D LN Equity" 2009  .007856831
3 "1334987D LN Equity" 2010   .01920615
3 "1334987D LN Equity" 2011           .
3 "1334987D LN Equity" 2012           .
3 "1334987D LN Equity" 2013           .
3 "1334987D LN Equity" 2014           .
3 "1334987D LN Equity" 2015           .
3 "1334987D LN Equity" 2016           .
3 "1334987D LN Equity" 2017           .
3 "1334987D LN Equity" 2018           .
4 "1561649D LN Equity" 2003           .
4 "1561649D LN Equity" 2004    .2383473
4 "1561649D LN Equity" 2005   .23322147
4 "1561649D LN Equity" 2006    .2747023
4 "1561649D LN Equity" 2007           .
4 "1561649D LN Equity" 2008           .
4 "1561649D LN Equity" 2009   .16537003
4 "1561649D LN Equity" 2010    .4768854
4 "1561649D LN Equity" 2011   .14333837
4 "1561649D LN Equity" 2012   .13682278
4 "1561649D LN Equity" 2013   .11177154
4 "1561649D LN Equity" 2014    .2387057
4 "1561649D LN Equity" 2015           .
4 "1561649D LN Equity" 2016           .
4 "1561649D LN Equity" 2017           .
4 "1561649D LN Equity" 2018           .
5 "1638414D LN Equity" 2003           .
5 "1638414D LN Equity" 2004   .12095035
5 "1638414D LN Equity" 2005    .1120581
5 "1638414D LN Equity" 2006   .10006714
5 "1638414D LN Equity" 2007   .11736046
5 "1638414D LN Equity" 2008   -.1074682
5 "1638414D LN Equity" 2009   .10434808
5 "1638414D LN Equity" 2010    .0954181
5 "1638414D LN Equity" 2011   .14149284
5 "1638414D LN Equity" 2012   .28253892
5 "1638414D LN Equity" 2013   .15810315
5 "1638414D LN Equity" 2014   .03957232
5 "1638414D LN Equity" 2015           .
5 "1638414D LN Equity" 2016           .
5 "1638414D LN Equity" 2017           .
5 "1638414D LN Equity" 2018           .
6 "1655637D LN Equity" 2003           .
6 "1655637D LN Equity" 2004  .002285661
6 "1655637D LN Equity" 2005 .0007066662
6 "1655637D LN Equity" 2006 .0010206974
6 "1655637D LN Equity" 2007  .001707869
6 "1655637D LN Equity" 2008  .010133424
6 "1655637D LN Equity" 2009   .05300895
6 "1655637D LN Equity" 2010  .003342496
6 "1655637D LN Equity" 2011 .0040739654
6 "1655637D LN Equity" 2012 .0010755167
6 "1655637D LN Equity" 2013  .002353301
6 "1655637D LN Equity" 2014 .0014642834
6 "1655637D LN Equity" 2015  .003463925
6 "1655637D LN Equity" 2016   -.1074682
6 "1655637D LN Equity" 2017           .
6 "1655637D LN Equity" 2018           .
8 "3572335Q LN Equity" 2003           .
8 "3572335Q LN Equity" 2004   .09133787
8 "3572335Q LN Equity" 2005    .1582893
8 "3572335Q LN Equity" 2006   .18906696
end

[Attaullah Shah]

You can use asrol or rangestat for rolling window statistics. Both the programs are available from SSC. An example is provided below using asrol:

ssc install asrol

bys unitid : asrol Investment, stat(sd) window( time 4) xf(focal) gen(SD3)
bys unitid : asrol Investment, stat(count) window( time 4) xf(focal)

I am using a window of four years and then delete the current observation with option xf(focal) thereby making the calculations from year t-3 to t-1. I have also calculated the number of observations on which the calculated SD is based. This additional variable can be used to see how many observations were used in the calculations. If you want to put a minimum observation criterion, then you can use option min(#), e.g. minimum 3 observations, then

bys unitid : asrol Investment, stat(sd) window( time 4) xf(focal) gen(SD3) min(3)

[Sanaullah Farooq]

thank you for the suggestion. I have attempted to apply the code but I am getting the following error:
<istmt>: 3499 asrolw() not found
r(3499);

Any suggestions on that? Many thanks.

[Nick Cox]

Here is a corresponding example for rangestat (SSC).

. webuse grunfeld, clear

. rangestat (count) invest (sd) invest, int(year -3 -1) by(company)

. tab invest_count, missing

   count of |
     invest |      Freq.     Percent        Cum.
------------+-----------------------------------
          1 |         10        5.00        5.00
          2 |         10        5.00       10.00
          3 |        170       85.00       95.00
          . |         10        5.00      100.00
------------+-----------------------------------
      Total |        200      100.00

Wherever the count is missing or 1, the SD is missing any way, and you are liberty to set the SD to missing if the count is 2.

[Attaullah Shah]

Seems your installation was not successful. Try re-installing asrol

ssc install asrol, replace

[Hamidreza Roohian]

I am trying to calculate the rolling standard deviations for my sample of monthly stock returns. I could successfully use Nick Cox's suggestion of rangestat however I also receive the same error message: "<istmt>: 3499 asrolw() not found" when trying to use asrol. I already tried reinstalling but that doesn't solve the issue.
I have a question about rangestat. Do we have a similar option in rangestat to set the min or max number of observations we want to be using when calculating the standard errors? The reason I want to have this option is that the estimates I calculate when using windows of (month -12 -1) are not reflective of the volatility of the stock when I have less than 3-4 observations used in the calculation. I was thinking of using (month -12 6) with a max(12) option to get better predictions for months with lower number of previous return values.
Can you help me with this option and also comment on the technique I am trying to use if you think it's not ideal?

Regards,
Hamidreza