[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Salvati, Jean" <JSalvati@imf.org> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: Timevarying IDs in a panel dataset |

Date |
Tue, 22 Nov 2005 10:27:07 -0500 |

What exactly does ID represent, and how does it affect the stock and its returns (if at all)? Jean Salvati > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Mark Schaffer > Sent: Tuesday, November 22, 2005 10:15 AM > To: statalist@hsphsun2.harvard.edu > Cc: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: Timevarying IDs in a panel dataset > > 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. > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > > 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 > > > > __________________________________________________________________ > > DISCLAIMER: > > This e-mail message is subject to > http://www.hw.ac.uk/disclaim.htm > __________________________________________________________________ > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**st: -exit- within -forvalues- loop** - Next by Date:
**Re: st: RE: Timevarying IDs in a panel dataset** - Previous by thread:
**Re: st: RE: Timevarying IDs in a panel dataset** - Next by thread:
**Re: st: RE: Timevarying IDs in a panel dataset** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |