Variance by month

[miorinnovo]

Is it possible to program a monthly series from a daily series where the monthly variable is the variance of the daily series?

[EViews Glenn]

Put the daily data in a daily workfile page.
Create a monthly page corresponding to those dates.
Copy the daily to the monthly performing a frequency conversion which averages the data over the high-frequency observations.
For programming, use the copy command to copy between the two pages.

[miorinnovo]

How does the variance come into it though?

[EViews Glenn]

In the frequency conversion you can specify the method of going from high to low. One method is to take the variance of the high-frequency data corresponding to the lower frequency. Thus, the variance of the daily for each month is put into the corresponding month.

[miorinnovo]

I see frequency conversion in the properties for the series but there doesnt seem to be the variance option you mention.

[EViews Gareth]

Code: Select all

'create some data and pages wfcreate(page=mydaily) d7 1990 2000 series x=nrnd 'create monthly variance series series monthly_variance = @varsby(x, @datefloor(@date, "MM"))

[miorinnovo]

Thanks!

That seems to have worked. The variance I get isn't exactly the same as when I square the standard deviation in the stats table of a series with just one month of data, not sure why.

[EViews Gareth]

Population/sample difference

[miorinnovo]

Sorry how do you mean? If I have a series and copy one month of data into a new series, the standard deviation should match up with the method you gave me for variance for that month, no?

[EViews Gareth]

Do you want the population variance or the sample variance? (I.e. Divide by n or n-1)

[miorinnovo]

Oh I follow. When I put the one month of data in its own series my denominator is 12 instead of 11. Thanks again Gareth, you're the man