
From  Philipp Rehm <Philipp.Rehm@gmx.de> 
To  statalist@hsphsun2.harvard.edu 
Subject  Re: st: Decile sorts 
Date  Thu, 09 Nov 2006 23:20:35 +0100 
Hi,
I am trying to sort my observations into deciles according to one attribute
and afterwards calculating the average of another attribute of those ten
groups.
(Basically different kinds of financial ratios for a group of companies to
check afterwards, if the decile portfolios have significantly different
rates of return).
Please find the code I came up with below [lines with ... are omitted], yrm
is the time variable (YearMonth)
(1) As far as I can tell it works out, but a) it's a lot of code and
b)produces a lot of variables and c)generating the output is rather awkward.
Could you give me hints on how to implement a smarter solution or if there
are any errors in the way the calculation is carried out currently?
(2) In an earlier mail it was suggested to use anova to assess the
equality of portfolios. I now found a study which uses a ChiSquare
statistic to assess the null hypothesis of equality of portfolios by using
GMM with the moment conditions: e1= R1  MR; e2= R2  MR; ...; e10 = R10  MR
where R1 to R10 are the returns of the decile portfolios and MR is the Mean
Return parameter to be estimated (therefore overidentified equation with 10
moment conditions and only one parameter to be estimated). How can this be
translated into Stata commands?
Thanks a lot.
Tom
*
* DECILE PORTFOLIOS
*
*** Generate Percentiles
sort yrm
foreach X of varlist c1* {
by yrm: egen p10_`X'= pctile(`X'), p(10.0)
by yrm: egen p20_`X'= pctile(`X'), p(20.0)
by yrm: egen p30_`X'= pctile(`X'), p(30.0)
...
by yrm: egen p90_`X'= pctile(`X'), p(90.0)
}
*** Sort into Percentile groups
foreach X of varlist c1* {
gen G_`X'=1 if `X'<p10_`X' & `X'~=.
replace G_`X'=2 if `X'>p10_`X' & `X'<p20_`X' ... replace G_`X'=9 if `X'>p80_`X' & `X'<p90_`X' replace G_`X'=10 if `X'>p90_`X' & `X'~=.
}
*** Calculate return mean for each group
sort yrm
foreach X of varlist G* {
by yrm: egen R1`X'= mean(c1ds_ri) if `X'==1
by yrm: egen R2`X'= mean(c1ds_ri) if `X'==2
...
by yrm: egen R9`X'= mean(c1ds_ri) if `X'==9
by yrm: egen R10`X'= mean(c1ds_ri) if `X'==10
}
*** Results
preserve
collapse (mean) R*
summarize
restore
*
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