Dear Stata users
I need to calculate equially- and value-weighted variance and skewness for each id/month.
I am aware of rangestat equally-weighted code:
Is there any way to calculate value-weighted (by market_cap) variance and skewness using rangestat command?
If not, what is the alternative way out?
I am aware of collapse command which can adjust for weights but it does not have variance or skewness option.
Any advice is highly appreciated.
Thank you.
I need to calculate equially- and value-weighted variance and skewness for each id/month.
I am aware of rangestat equally-weighted code:
Code:
rangestat (sd) market_returns (skewness) market_returns, interval ( monthly_date . 0) by(id) gen variance_market_returns=market_returns_sd^2
If not, what is the alternative way out?
I am aware of collapse command which can adjust for weights but it does not have variance or skewness option.
Code:
collapse (sd) market_returns [weight=market_cap], by (id month)
Thank you.
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