Dear Statalist forum,

I have quarterly data (Year_Quarter) from 1965 until 2020 and I want to generate a four period aggregated return. I first built decile portfolios based on characterstics and then generate the average return for each portfolio by the deciles. But if I want to generate the aggregated portfolio return over four quarters I get a lot of missing values, probably because most portfolio returns are not available in four following quarters. How can I solve the problem in a way that I still get a value of four period returns? Maybe if one, two or three returns are missing ad the average of the existing returns?

I used the following code for the Asset Growth portfolio:

bys AG10: gen agreg_av_return_AG= av_return_AG + av_return_AG[_n-1]+ av_return_AG[_n-2] + av_return_AG[_n-3]

I have also tried rangestat but it seems to produce completly wrong results:

rangestat (sum) agreg_av_return_AG= av_return_AG, by(AG10) int(Year_Quarter -4 0)

I would appreciate any help. Thanks in advance!