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Re: st: RE: Timevarying IDs in a panel dataset


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Timevarying IDs in a panel dataset
Date   Tue, 22 Nov 2005 15:14:37 -0000 (GMT)

Nick,

> It is not clear that these identifiers are
> really identifiers. Or, to put it another way,
> how can this problem be solved at all?
>
> As I understand it, you may need a new identifier
> based on a combination of now and the
> next period. So, any stock that is 3 now
> and 2 next period cannot be the same item
> as one that is 3 and 3, any more than a person
> who is male now and female next week can be the
> same person as someone with more stable gender.

But a person who has a maiden name last week and a married name this week
is the same person.  This is what Daniel has, more or less.

--M

> But does a combination of now and next uniquely
> identify stock?
>
> Nick
> n.j.cox@durham.ac.uk
>
> Daniel Höchle
>
>> I do have a panel of several thousand stocks. Each stock has an id
>> called ID_now. However, there is a problem: The stock's id may change
>> over time. Therefore, I do have variable ID_nextperiod which contains
>> the stock's id in the next period. The data looks like this:
>>
>> Date       ID_now       ID_nextperiod         Price_now
>>  1           1               1                    100
>>  2           1               1                    110
>>  3           1               1                    105
>>  4           1               1                    100
>>  3           2               2                     22
>>  4           2               2                     27
>>  1           3               3                     20
>>  2           3               2                     25
>>  1           4               5                     60
>>  2           5               5                     65
>>  3           5               5                     67
>> ...
>>
>> What I would like to do is calculating the discrete stock returns. If
>> the stock's ID would not change over time this could be
>> achieved (after
>> tssetting the dataset) by simply typing
>>
>> . PriceRet = Price_now / L.Price_now - 1
>>
>> However, I do not have any idea how to calculate the discrete stock
>> returns in case of changing IDs. Any ideas would be appreciated.
>
> *
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>


Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



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