Hi,
I have panel data, permno is my panel variable. I want to create covariance between returns and lag_returns for each permno and store the values in a new column. I have data of 1 year for each panel variable. I don't want to get 1 covariance figure for each permno. Instead, for a given permno and date, I want to calculate covariance for the values till that specific date.
For example, if permno=10001 and date=date=19900111, my covariance figure should be cov (returns, lag_returns) for the period date=19900102-19900111
Thank you
Related Posts with How to calculate a running covarance and store the values?
Adding an interaction term into a model or stratifying data , which method is more preferable to analyse interaction terms?- Help with using expand>2 while replacing values in duplicates generated
- Longitudinal data - generating variables dependent on observations within each subject
- Residuals in a panel data model
- Marginal effects Tobit (mfx vs margins)
Subscribe to:
Post Comments (Atom)
0 Response to How to calculate a running covarance and store the values?
Post a Comment