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Re: st: How do I save fixed panel effects as a variable


From   "Ada Ma" <heu034@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How do I save fixed panel effects as a variable
Date   Sun, 2 Apr 2006 18:28:08 +0100

Hi Amy,

I'm glad that my suggestion helped!

Good luck with your work.

Cheers,
Ada

On 4/1/06, Amy Dunbar <Amy.Dunbar@business.uconn.edu> wrote:
> Thank you, Ada!  Your code worked.  I had to change a couple minor
> things, but I now have a stata dataset with the permno and the related
> fixed effect, which is a proxy for firm accounting conservatism.  I am
> so happy!  Here is my code.
>
> tsset permno yeara
> xi: reg btm i.permno r0ret r1ret r2ret r3ret r4ret r5ret r6ret  i.yeara
> matrix permno_coef=e(b)'
> svmat permno_coef
> gen count=_n+1
> outsheet count permno_coef if count <=378 using permno.out, c replace
> /* 378 firms, one is dropped in estimation */
>
> use ahmed-br-8798, clear
> drop if yeara>1993
> sort permno year
> gen count = _n
> keep permno count
> sort count
> save countfirms1, replace
>
> insheet count permno_coef using permno.out, clear
> gen conmkt = permno_coef * -1  /* conmkt = -alphai */
> drop permno_coef
> sort count
> save countfirms2, replace
>
> use countfirms1, clear
> sort count
> merge count using countfirms2
> drop _merge
>
> save conmkt, replace
>
> Amy Dunbar
> University of Connecticut
>
> ------------------------------
>
> Date: Fri, 31 Mar 2006 00:22:57 +0100
> From: "Ada Ma" <heu034@googlemail.com>
> Subject: Re: st: How do I save fixed panel effects as a variable
>
> i have done something similar recently - i ran a model with roughly
> 400 dummies.  you said you're using fixed effects and used the -xtreg-
> command.  but this isn't necessary as you already have i.permno.  if I
> understand it correctly, running fixed effects is equivalent to having
> a constant term for each of the group within permno.  therefore i
> suggest that you use:
>
> xi: reg btm i.permno r0ret r1ret r2ret r3ret r4ret r5ret r6ret i.yeara
> matrix permno_coeff=e(b)'
> svmat permno_coeff
> outfile permno_coeff if _n<=499 using permno.out, c replace
>
> i have no idea whether your permno variable is in sequence or not.  if
> it is, then you might want to write:
> gen count=_n
> outfile count permno_coeff if _n<=499 using permno.out, c replace
>
> note that i put the i.permno in front, so that the first 499
> coefficients (500 - 1 for the ref group) would be the those that
> corresponds to the permno's.  the OUT file can be easily read back
> into Stata.  as long as you don't sort the data between you do the
> - -svmat- and the -outfile- commands, the coefficients will stay in
> sequence.
>
> hope this helps!
>
>
> - --
> Ada Ma
> Research Fellow
> Health Economics Research Unit
> University of Aberdeen, UK.
> http://www.abdn.ac.uk/heru/
> Tel: +44 (0) 1224 553863
> Fax: +44 (0) 1224 550926
>
> ------------------------------
>
> Date: Fri, 31 Mar 2006 00:46:38 +0100
> From: "Ada Ma" <heu034@googlemail.com>
> Subject: Re: st: How do I save fixed panel effects as a variable
>
> addendum to what i've said earlier.  it should be -outsheet- and not
> - -outfile-.  and for more labour saving - assuming your permno variable
> is a numeric variable, you might want to turn it into a string
> variable.  you write:
>
> encode permno, generate(permno1) label(permno1)
> drop permno1
>
> that turns the permno1 back into numeric but now the numeric variable
> has a label!!!  as you can see I don't really care about the "permno1"
> variable, all I want is to generate the label "permno1".
>
> it's exciting because now after you have generate the count variable
> (as I recommend in the earlier post), you can write:
>
> label variable count permno1
> decode count, generate(permno1)
> outsheet permno1 permno_coeff if _n<=499 using permno.out, c replace
>
> now count is a string variable, and because you outsheet it side by
> side with permno_coeff, each of the coefficient will sit side by side
> with a string variable that contains permno.  you would only need to
> destring it again to turn it back into the original numeric.
>
> it may sound rather cumbersome so if anyone have thought of better way
> of doing this, plesae chip in.   cheers, ada
>
> ------------------------------
>
> Date: Fri, 31 Mar 2006 00:52:30 +0100
> From: "Ada Ma" <heu034@googlemail.com>
> Subject: Re: st: How do I save fixed panel effects as a variable
>
> still one more addendum (sorry!):
>
> it should be:
>
> gen count=_n-1
>
> note the extra  "-1" in the equation.  now I'm assuming you're using
> the first group as the ref group.  I'll shut up now.
>
>
> *
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>


--
Ada Ma
Research Fellow
Health Economics Research Unit
University of Aberdeen, UK.
http://www.abdn.ac.uk/heru/
Tel: +44 (0) 1224 553863
Fax: +44 (0) 1224 550926

*
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*   http://www.ats.ucla.edu/stat/stata/



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