Series Generation - Moving Median

[Odilon]

Hi,

My panel database is composed by the daily number of stocks traded (volume) for 139 companies in the past 8 years (2243 days * 139 companies)
For each company i need to compute the following indicator:

Indicator = log(volume) - log(median(volume(-1 to -20)).

In other words, what i am missing is a moving median, and as far as I understand, there is no such function in Eviews 9. Any workaround?

Many thanks! :)

[EViews Gareth]

From within EViews...

Help->Quick Help Reference->Sample Programs and Data.

Look at the roll example, especially the one storing a moving standard deviation. Just change the function to use @median rather than @stdev.

[Odilon]

Thanks for your help Gareth. I did as you said and it worked!