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st: Product within a variable


From   "Mario Gamboa-Cavazos" <mgamboa@nber.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Product within a variable
Date   Thu, 12 Jun 2003 12:06:17 -0400

Dear All,

I am struggling to compute a constant of products within a variable.
What I am trying to do is something very similar to what the 'egen'
command with the option 'sum' and 'by(.)' does, except that I would need
something like a multiplication option.

My dataset is a panel of monthly stock returns and I want to compute the
follwing:

- For each company and for each year:  The product of (1+r_t) where r is
the monthly stock return in month t.  More specifically, my dataset
looks like:

Company	Year		Month		Return	What I need:
Pi^12_1(1+r_t)
1		1990		1		.33		constant
for 1990 firm 1
1		1990		2		.44		constant
for 1990 firm 1
.		.		.		.		constant
for 1990 firm 1
.		.		.		.		constant
for 1990 firm 1
.		.		.		.		constant
for 1990 firm 1
1		1990		12		.55		constant
for 1990 firm 1
1		1991		1		.23		constant
for 1991 firm 1
1		1991		2		.43		constant
for 1991 firm 1
.		.		.		.		constant
for 1991 firm 1
.		.		.		.		constant
for 1991 firm 1
.		.		.		.		constant
for 1991 firm 1
1		1991		12		.43		constant
for 1991 firm 1
2		1990		1		.87		constant
for 1990 firm 2
2		1990		2		.98		constant
for 1990 firm 2
.		.		.		.		constant
for 1990 firm 2
.		.		.		.		constant
for 1990 firm 2
.		.		.		.		constant
for 1990 firm 2
2		1990		12		.65		constant
for 1990 firm 2
.		.		.		.		.
.		.		.		.		.
.		.		.		.		.

and so on for nearly 2,000 companies and ten years. 

If any of you has any good suggestions I would greatly appreciate it,
especially if it can deal with missing return data.

Thanks for your help.
Best,

Mario


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