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From |
Seb Buechte <sfbuechte@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 22 Nov 2005 16:26:49 +0100 |

Nick and Mark, if the stock remains "physically" the same then the proposed solution of Nick to generate a new and unique identifier for the stocks is help with this problem. But, take a look at stock with id_now = 3 and id_nextperiod = 2 and at the stock id_now = 2 and id_nextperiod = 2 it looks to me as something that was different in "now" becomes the same in "nextperiod". I feel like one might be running into some statistical "issues" there. Kind regards, sebastian On 11/22/05, Mark Schaffer <M.E.Schaffer@hw.ac.uk> wrote: > 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/ > -- - Seb F Buechte - - Stay tuned! * * 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/

**References**:**st: RE: Timevarying IDs in a panel dataset***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: Timevarying IDs in a panel dataset***From:*"Mark Schaffer" <M.E.Schaffer@hw.ac.uk>

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