MVSUMM: Stata module to generate moving-window descriptive statistics in time series or panel
Nicholas J. Cox
Christopher F Baum
mvsumm computes a moving-window descriptive statistic for tsvar which must be a time series variable under the aegis of tsset. If a panel calendar is in effect, the statistic is calculated for each time series within the panel. The moving-window statistic is placed in a new variable, specified with the generate() option. The statistics available include minimum, maximum, other key percentiles, mean and standard deviation: one of these and/or other statistics returned by summarize, or easily computable from what it returns, may be specified. aweights or fweights may be specified. Although mvsumm works with unbalanced panels (where the start and/or end points differ across units), it does not allow gaps within the observations of a time series; that is, the value of an observation for a given period may be missing, but the observation itself must be defined. Gaps in time series may be dealt with via the tsfill command. mvsumm7 may be used by Stata 7 users.
descriptive statistics, moving window, time series, volatility
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