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st: RE: creating a special sample split (panel data)


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: creating a special sample split (panel data)
Date   Fri, 3 Nov 2006 17:52:18 -0000

(code not tested) 

The first year they enter the sample I take to be 
the first year with a non-missing -mvalue-. That is 

gen byte tag = missing(mvalue) 
bysort company (tag year) : replace tag = _n == 1 

The median value of -mvalue- across the entry years
of all the panels is then obtained by 

su mvalue if tag, detail

The assignment to high or low is then 

by company : gen byte highorlow = mvalue[1] > r(p50) 

Nick 
n.j.cox@durham.ac.uk 

Alessandro Fiaschi
 
> I have a panel of 1000 firms and I wish to generate two subsamples of
> firms with relatively low and relatively high mvalue during our sample
> period. The sample splits should be achieved as follows: each firm
> should be assigned to a high (resp. low) category according to its
> position in the first year it enters the sample relative to the median
> across all firms in the first year they enter the sample. For example,
> firm 1 was categorised as a high mvalue firm if its mvalue in 1948,
> the first year firm XYZ entered the sample, was above the median
> dividend payout ratio across all firms in the first year they entered
> the sample. I would be very grateful I somebody could write me the
> Stata commands useful to enter this particular sample splitting.
> 

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