[Limdep Nlogit List] Annual Moving averages for quarterly Data

Barry Williams bwilliam at bond.edu.au
Wed Jul 15 13:31:45 EST 2009

Dear All,


I have an unbalanced data set with quarterly data extending over 7


I wish to generate annual moving averages for each firm.


I also wish to calculate annual moving standard deviation, so I can
create a series of risk measures.


Given that I have quarterly data and the standard devotion estimation
may be problematic I am also going to follow the method suggested by
Parkinson (1980), Journal of Business pp 61-65, and use an extreme value
approximation of the standard deviation, eg Ln(Max/Min) on an annual
moving average


Thus I would appreciate some clues as to the most efficient method of
doing these calculations within Limdep. Other wise I am going to have do
this the clunky (ugly) way of exporting the data out of Limdep, doing
the calculations in Excel and then reimporting into Limdep (not my
preferred option!)



Many thanks in advance,





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