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Cross Sectional Percentile Ranking Across Time Series
Posted: Mon Feb 10, 2014 6:41 am
by telaxin
Hi,
I was wondering whether it would be possible and how do I go about doing a percentile rank across various time series for the same date. Thanks!
Re: Cross Sectional Percentile Ranking Across Time Series
Posted: Mon Feb 10, 2014 9:06 am
by EViews Gareth
Could you define what you mean a little more explicitly?
Re: Cross Sectional Percentile Ranking Across Time Series
Posted: Mon Feb 10, 2014 4:24 pm
by telaxin
For example:
TS1 TS2 TS3
1/1/2000 5 4 3
There are 3 time series TS1 TS2 and TS3. I want to do a percentile ranking row wise such that:
TS1 TS2 TS3
1/1/2000 100% 50% 0%
So I do a percentile ranking across rows across multiple timeseries
Re: Cross Sectional Percentile Ranking Across Time Series
Posted: Mon Feb 10, 2014 4:53 pm
by EViews Gareth
There isn't anything built in that will do that for you. All you can do is convert a group containing the series into a matrix object, pull off each row of the matrix one at a time into a vector object, use the @ranks function to get you the relative ranking of each row, then calculate the percentiles.