Discrepancy in results: Different results are getting when using asrol and rangestat for rolling standerd deviation

[Fadi Ansar]

Dear All,

I was trying to calculate the 3-year rolling standard deviation of return on asset .I have unbalnced panel data from 2005-2021 for bank level data.
I have used both the following commands such as

rangestat (count) roa (sd) roa,by(bank) interval(year 0 3)

rangestat (count) roa (sd) roa,by(bank) interval(year 0 3)
as well as asrol command

bys banks:asrol roa, w(year 3) s(sd) g(sd)

.Since I am calcualting same rolling standerd deviation ,I should get the same valus right? .But I am getting diffrent values .Please see the below example.first sd is based on rangestat and sd is based on asrol command.
[CODE]

* Example generated by -dataex-. To install: ssc install dataex
clear
input str30 bankname int year str14 ownership float(capitalisation roa) long bank double(returnonassets_count returnonassets_sd_sd3 sd_N)
"ALLAHABAD BANK"      2005 "Public Sector"  .05155952  1.33 1 3                      .                   .
"ALLAHABAD BANK"      2006 "Public Sector"  .06580575  1.42 1 3   .0004390931080029926  .06363954961532742
"ALLAHABAD BANK"      2007 "Public Sector"   .0661629  1.26 1 3     .08466196277729261  .08020804325068985
"ALLAHABAD BANK"      2008 "Public Sector"  .06295023  1.32 1 3     .08045848564305398  .08082901467917224
"ALLAHABAD BANK"      2009 "Public Sector"  .05992902    .9 1 3     .04772181485486514  .22715636384997973
"ALLAHABAD BANK"      2010 "Public Sector"  .05548889  1.16 1 3     .07054337757331035   .2119748753168801
"ALLAHABAD BANK"      2011 "Public Sector"  .05623365  1.11 1 3      .0901792688389379  .13796135104577556
"ALLAHABAD BANK"      2012 "Public Sector"  .05743369  1.02 1 3     .10102107509519449  .07094598559743424
"ALLAHABAD BANK"      2013 "Public Sector"  .05554799   .64 1 3     .03517967670670633  .24946610634105637
"ALLAHABAD BANK"      2014 "Public Sector"    .053534   .57 1 3     .14536674442014735  .24214320303140308
"ALLAHABAD BANK"      2015 "Public Sector"   .0556714   .29 1 3     .13773876674232197  .18520258974696194
"ALLAHABAD BANK"      2016 "Public Sector"  .05864283  -.33 1 3     .36248086835604376  .46057934844953496
"ALLAHABAD BANK"      2017 "Public Sector"  .06031272  -.13 1 3      .6804868174066903   .3164385148414566
"ALLAHABAD BANK"      2018 "Public Sector"  .04063241 -1.96 1 3      .4541167047733162   1.003809431269485
"ALLAHABAD BANK"      2019 "Public Sector"  .03673051 -3.48 1 2     .47815013386305705   1.677388856667172
"ALLAHABAD BANK"      2020 "Public Sector"  .04908012 -2.22 1 1     .05513769918261641     .81297805556945
"ANDHRA BANK"         2005 "Public Sector"  .26091126  1.38 2 3                      .                   .
"ANDHRA BANK"         2006 "Public Sector"  .05612817  1.31 2 3 3.6247902169389374e-08 .049497511772285015
"ANDHRA BANK"         2007 "Public Sector"  .07115781  1.16 2 3    .025722107396185318  .11239811147526751
"ANDHRA BANK"         2008 "Public Sector"  .06639069  1.09 2 3      .0284144877149058  .11239806021299266
"ANDHRA BANK"         2009 "Public Sector"  .05741565  1.39 2 3    .031010150838286333  .15695008273204414
"ANDHRA BANK"         2010 "Public Sector"  .05326472  1.36 2 3    .040150649754136195   .1652270959283402
"ANDHRA BANK"         2011 "Public Sector"  .04881476  1.19 2 3      .1921771158497549  .10785789654444057
"ANDHRA BANK"         2012 "Public Sector"  .05961776   .99 2 3     .14678534681492603  .18520259537907327
"ANDHRA BANK"         2013 "Public Sector"  .06005353   .29 2 3     .21941077113077764   .4725815912137361
"ANDHRA BANK"         2014 "Public Sector"  .05769821   .38 2 3     .16717189283766762   .3808324310266309
"ANDHRA BANK"         2015 "Public Sector"  .05221348   .28 2 3     .49214143676375516 .055075704354555687
"ANDHRA BANK"         2016 "Public Sector"  .05435045   .08 2 3      .4252328344621754  .15275252218968471
"ANDHRA BANK"         2017 "Public Sector"  .05498245 -1.46 2 3      .2391473706836734    .952120462448358
"ANDHRA BANK"         2018 "Public Sector"  .05094886 -1.09 2 3      .3557916932487735   .8038864129377447
"ANDHRA BANK"         2019 "Public Sector"  .04467204   -.5 2 2      .4144200177619128   .4841831809273453
"ANDHRA BANK"         2020 "Public Sector"  .05280597  1.21 2 1    .010300836974367556  1.1945850394500346
"AXIS BANK"           2005 "Private Sector" .05014084  1.18 3 3                      .                   .
"AXIS BANK"           2006 "Private Sector" .06415912   1.1 3 3       .071164932033737  .05656848854695771
"AXIS BANK"           2007 "Private Sector" .05802455  1.24 3 3     .07427146475475173  .07023768127603842
"AXIS BANK"           2008 "Private Sector" .04644193  1.44 3 3     .03979089445994405   .1708800933235088
"AXIS BANK"           2009 "Private Sector" .08004068  1.67 3 3     .10571406069197627  .21517431999127154
"AXIS BANK"           2010 "Private Sector" .06914881  1.68 3 3     .07344321297982027  .13576935166180149
"AXIS BANK"           2011 "Private Sector"  .0888171  1.68 3 3     .02571304867164073 .005773497185855025
"AXIS BANK"           2012 "Private Sector" .07827681   1.7 3 3    .028256320489889578 .011547063197225461
"AXIS BANK"           2013 "Private Sector" .07985406  1.78 3 3     .00677187671847061  .05291502081449223
"AXIS BANK"           2014 "Private Sector" .09721574  1.83 3 3      .3415537236229211  .06557437724416511
"AXIS BANK"           2015 "Private Sector" .09972863  1.72 3 3       .413956407504573 .055075710667583364
"AXIS BANK"           2016 "Private Sector" .09671658   .65 3 3     .25381435796462437   .6518435744028364
"AXIS BANK"           2017 "Private Sector" .09848618   .04 3 3      .3035812980729367    .850431281114237
"AXIS BANK"           2018 "Private Sector" .09271078   .63 3 3     .03796193671932448   .3465544610084355
"AXIS BANK"           2019 "Private Sector"  .0917728    .2 3 3      .1265030358059831  .30512292331788216
"AXIS BANK"           2020 "Private Sector" .08324168    .7 3 2      .1181860816893096   .2707397204677344
"AXIS BANK"           2021 "Private Sector" .09282245  1.21 3 1     .10209474614088712   .5050082684479728
"BANK OF BARODA"      2005 "Public Sector"  .19210494   .75 4 3                      .                   .
"BANK OF BARODA"      2006 "Public Sector"  .05944964   .79 4 3     .02023609892395137 .028284286420327365
"BANK OF BARODA"      2007 "Public Sector"  .06917949    .8 4 3     .06378875242218508 .026457521671453203
"BANK OF BARODA"      2008 "Public Sector"   .0604273   .89 4 3     .05809594492070316  .05507568721922883
"BANK OF BARODA"      2009 "Public Sector"  .06149199  1.09 4 3     .02128707115880506  .14843630889950282
"BANK OF BARODA"      2010 "Public Sector"  .05682091  1.21 4 3     .04981574705404479  .16165810309994594
"BANK OF BARODA"      2011 "Public Sector"  .05427766  1.33 4 3     .08338996871901346  .12000000476837158
"BANK OF BARODA"      2012 "Public Sector"  .05871567  1.24 4 3     .10260934551020158  .06244998723771628
"BANK OF BARODA"      2013 "Public Sector"  .06142528    .9 4 3    .021856224472793378  .22678921421913545
"BANK OF BARODA"      2014 "Public Sector"  .05843058   .75 4 3      .3410018148058771   .2510644090304655
"BANK OF BARODA"      2015 "Public Sector"  .05456471   .49 4 3      .3180378149361379  .20744475590619504
"BANK OF BARODA"      2016 "Public Sector"  .05571466  -.78 4 3     .16403141685116387    .818677781450771
"BANK OF BARODA"      2017 "Public Sector"  .05987546    .2 4 3      .1929140610060536    .665507313398499
"BANK OF BARODA"      2018 "Public Sector"  .05800069  -.34 4 3     .13804616651149945  .49084959144360296
"BANK OF BARODA"      2019 "Public Sector"  .06027053   .06 4 3     .14632215604295704  .28023799709031416
"BANK OF BARODA"      2020 "Public Sector"  .05882438   .06 4 2     .12962704893863636  .23094010896632872
"BANK OF BARODA"      2021 "Public Sector"  .06205653   .07 4 1   .0009175172457541416 .005773503638247094
"BANK OF INDIA"       2005 "Public Sector"    .466394   .68 5 3                      .                   .
"BANK OF INDIA"       2006 "Public Sector"  .04700944   .88 5 3    .012802731923103664   .1414213478079398
"BANK OF INDIA"       2007 "Public Sector"  .04439028  1.25 5 3     .06230095943499194  .28919428031639566
"BANK OF INDIA"       2008 "Public Sector"   .0415703  1.49 5 3     .06324303986587651  .30730007743747584
"BANK OF INDIA"       2009 "Public Sector"  .05921484    .7 5 3     .20295553988431098  .40501029855090953
"BANK OF INDIA"       2010 "Public Sector"  .05984396   .82 5 3     .20283892260525396    .425715095929033
"BANK OF INDIA"       2011 "Public Sector"  .05175172   .72 5 3    .021318113847855903   .0642909993870333
"BANK OF INDIA"       2012 "Public Sector"  .04923698   .65 5 3     .05645556319386119  .08544004317366005
"BANK OF INDIA"       2013 "Public Sector"  .05451198   .51 5 3     .11763744994444933  .10692678130352644
"BANK OF INDIA"       2014 "Public Sector"  .05284582   .27 5 3     .20210111163764008  .19218045339097498
"BANK OF INDIA"       2015 "Public Sector"  .05220445   .94 5 3      .2997827176342837   .3394603508640031
"BANK OF INDIA"       2016 "Public Sector"   .0508273  -.24 5 3       .286329126667747   .5918051438344596
"BANK OF INDIA"       2017 "Public Sector"   .0508491  -.91 5 3      .3637105459455049    .936642951561532
"BANK OF INDIA"       2018 "Public Sector"  .04912135  -.84 5 3     .15583246763631703   .3682843160387013
"BANK OF INDIA"       2019 "Public Sector"  .05830399  -.43 5 3     .15599969016996956   .2592939124762318
"BANK OF INDIA"       2020 "Public Sector"  .06666607   .28 5 2     .24099958537832802   .5666568521311204
"BANK OF INDIA"       2021 "Public Sector"  .06669196   .43 5 1     .24983329250150924   .4593836519806258
"BANK OF MAHARASHTRA" 2005 "Public Sector"   .0750479   .16 6 3                      .                   .
"BANK OF MAHARASHTRA" 2006 "Public Sector"  .04690353   .76 6 3     .22821387345583471   .4242640644972437
"BANK OF MAHARASHTRA" 2007 "Public Sector"  .05036581   .75 6 3     .18509303759303083  .34355979510528606
"BANK OF MAHARASHTRA" 2008 "Public Sector"   .0446529   .72 6 3     .06696930796063315 .020816640142347336
"BANK OF MAHARASHTRA" 2009 "Public Sector"  .03699832    .7 6 3     .06030743079027291   .0251661184158651
"BANK OF MAHARASHTRA" 2010 "Public Sector"  .04264226   .47 6 3    .012726817613230744  .13892444684500613
"BANK OF MAHARASHTRA" 2011 "Public Sector"   .0402277   .55 6 3     .05477705200594472  .11676185879120402
"BANK OF MAHARASHTRA" 2012 "Public Sector"  .05194676   .74 6 3     .05603066685848089   .1386842979490136
"BANK OF MAHARASHTRA" 2013 "Public Sector"  .05181912    .3 6 3     .05402991358915148   .2206807637727425
"BANK OF MAHARASHTRA" 2014 "Public Sector"  .05469675   .33 6 3      .2545150181082897  .24583191921883454
"BANK OF MAHARASHTRA" 2015 "Public Sector"  .05405034   .07 6 3     .25138320794551816   .1422439290338149
"BANK OF MAHARASHTRA" 2016 "Public Sector"   .0552486  -.86 6 3     .41777452957471295    .625646345667263
"BANK OF MAHARASHTRA" 2017 "Public Sector"  .05459301  -.73 6 3      .5912887625154251    .503620236705608
"BANK OF MAHARASHTRA" 2018 "Public Sector"  .04631772 -3.01 6 3     .30866887607028876   1.280481664959036
"BANK OF MAHARASHTRA" 2019 "Public Sector"  .06360928   .23 6 3      .9361201073929193  1.6642115189786766
"BANK OF MAHARASHTRA" 2020 "Public Sector"  .03488269    .3 6 2      .9922691720984395  1.8911460362307069
"BANK OF MAHARASHTRA" 2021 "Public Sector"  .06369076   .55 6 1    .006046225349259058  .16822604140655073
end
label values bank bank
label def bank 1 "ALLAHABAD BANK", modify
label def bank 2 "ANDHRA BANK", modify
label def bank 3 "AXIS BANK", modify
label def bank 4 "BANK OF BARODA", modify
label def bank 5 "BANK OF INDIA", modify
label def bank 6 "BANK OF MAHARASHTRA", modify

What might be the reson for this or is I am a doing something wrong.
Can anyone please kindly help me with this

Nick Cox and @Attaullah Shah

[Clyde Schechter]

I don't know how -asrol- works, as I have not installed or used it. But I can tell you that the -rangestat- command you show is probably not what you are looking for. By specifying -interval(year 0 3) you are calculating a forward 4-yearstandard deviation that runs includes the current year plus the three following years. While the term "3-year rolling" is many-ways ambiguous, I have observed here on Statalist that what is usually intended by people working with financial data is a 3 year lagging rolling statistic that excludes the current year and counts the three years that precede it.

If I were forced to, I would guess that with -w(year 3)- in your -asrol- command you are getting this lagging statistic that excludes the current year. If that is what you want, then the way to get that with -rangestat- is with -interval(year -3 -1)-.

Added: I have just discovered that #1 is a duplicate post. The same question is asked, and answered by Nick Cox, at https://www.statalist.org/forums/for...eviation/page2. Nick's answer is substantively the same as mine, although he speaks with confidence regarding -asrol-'s calculation of lagging intervals.