stdev.m (657B)
1 %stdev.m 2 % calculates cross sectional standard deviations 3 % data = TxN matrix 4 % 5 % Also return 90% confidence interval following Greene S4.6, p121ff 6 % 7 % CI = (s*sqrt((n-1)/upper, s*sqrt((n-1)/lower)) 8 % where upper and lower are the critical values from a ChiSquare 9 % with n-1 dof so that 10% of the weight is in the tails. 10 % (For this version, 5% is lower tail and 5% is upper tail). 11 12 function [std,cilow,ciupp]=stdev(data); 13 14 [T N]=size(data); 15 lower=invchicdf(.05,N-1) 16 upper=invchicdf(.95,N-1) 17 18 if ~isempty(data); 19 x =demean(data'); 20 vcv=1/(N-1)*x'*x; 21 std=sqrt(diag(vcv)); 22 cilow=std*sqrt((N-1)/upper); 23 ciupp=std*sqrt((N-1)/lower); 24 end; 25 26 27 28 29 30 31 32