asrol : Rolling window and by-groups statistics in Stata

Rolling window and by-group statistics in Stata using asrol


 

asrol is a Stata program for rolling window and group statistics. It can be installed from ssc by:

ssc install asrol

After installation, you can read the help file by typing:

help asrol

 

asrol can be used for the following purposes. To know further details, click on the following links:

▬ Find mean, standard deviation, and other statistics in a rolling window

▬ Find statistics excluding focal observation

Find cumulative product of stock returns / monthly cumulative stock returns

▬ Find geometric mean of stock returns in Stata

▬ Count number of firms that have paid dividends in a rolling window of 5 years

▬ Find coefficient of variation in a rolling window of 5 years

▬ Find industry returns in each year / month

▬ Find portfolio returns in each year / month

▬ Find cumulative average / abnormal returns in event studies

▬ Find descriptive statistics in a recursive window

 

 

 

 

 

 

 

 

 

 

 

 

 


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1 Comment

Faisal Nawaz Mir

September 1, 2018at 4:26 pm

I am very glad to see the code of arsol from our Pakistani author.
We are proud on you as one of us is contributing to finance field.
Adab!
Basad Ijz-o-Niaz

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