Seasonal moving average

[jthodge]

Can you suggest a simple way to calculate a "seasonal moving average"? For example, for a 3-year moving average = (X + X(-12) + X(-24))/3

I'd like to calculate the moving average for each month over a 20-year period and that formula could get pretty cumbersome.

[EViews Gareth]

What frequency is your data?

[jthodge]

My data is monthly. So, for each observation, I'd like to calculate a rolling average of the past 20 January values (inclusive of current month) if the observation occurs in January, the past 20 February values if it's a February observation, etc.

The formula might be something like:

Code: Select all

genr movavg = (ser01 + ser01(-12) + ser01(-24) + ... + ser01(-228)) / 20

I'm just hoping there's a simpler way to do this.

[EViews Gareth]

Nope, that's probably the best way.

You could do something crazy involving copying the data to a new page, removing all non-January months (using pagecontract), then using a simple @movav, then copying back. But that might be more effort than just doing it manually.

[jthodge]

OK. Thanks.

It would be a nice function to have, although I'm not sure how you would set it up.