Generating - transformation of a time series variable

genr

asked 2012-06-26 05:02:16 +0000

Pantera
61 ●17 ●20 ●22

updated 2012-06-26 07:47:03 +0000

Hi all,

I have the following problem: I want to generate a new time series variable which measures the accumulated (the sum) of an existing variable "X". The new variable is a sum inside a given moving time window with a constant width of let say 40 years. More precisely - the new variable is generating in the following way: Let the sum of the first 40 observations from time point t = 1 to t = 40 represents the first observation, the second observation is the sum of the observations from t = 2 to time point t = 41, the third observation is the sum of observations from t = 3 to t = 42 etc. The constant time window of 40 years is moving by one step at the time. It's like a moving average but WITHOUT dividing by the number of observations. I hope one of you Shazam experts could look into the problem - it would be of great help.

Regards, P.

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* Program to create moving sums of a variable sample 1 10 * generate some simple data to make it easy to check genr x=time(0) * initialize the moving sum variable genr msum=0 * add up the number of lags (this example does current plus last 2) * if you dont like output, you can SET NODOECHO after it works do #=0,2 genr msum=msum+lag(x,#) endo * print it out, the first few observation will be garbage print x msum stop

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Ken - Thanks a lot for your help - it function perfectly! :)

Pantera ( 2012-06-27 01:55:56 +0000 )edit

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Generating - transformation of a time series variable

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