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st: Re: Size matching


From   "Michael Blasnik" <michael.blasnik@verizon.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Size matching
Date   Wed, 07 Feb 2007 07:48:35 -0500

You may be able to use -nearmrg- to help with this. Type -ssc describe nearmrg- You would need to deal with tied values of BookValue in the Non-event firms table since -nearmrg- requires the merging value to be unique in the lookup dataset, but you would need to deal with ties in any approach you selected.

Michael Blasnik
(author of nearmrg)

----- Original Message ----- From: "Ingo Brooks" <ingo.brooks@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, February 07, 2007 3:45 AM
Subject: st: Size matching



Dear all,

I have two datasets with yearly firm data. Sample 1 is the dataset
containing the event firms (Initial public offerings (IPO) and
seasoned public offerings (SEO)) and sample 2 contains the non-event
firms (i.e. all firms which did not have an IPO or SEO in the last
five years).

The datasets are structured as follows:

Dataset 1: Event firms

ID        Year       BookValue      E_Ret
E1        1995          670           12
E2        1995          380           -8
E3        1995         1120           -4
E1        1996          682            9
E3        1996         1120           -2


Dataset 2: Non-event firms

M_ID     M_Year     M_BookValue     M_Ret
M1        1995          350           13
M2        1995          430           12
M3        1995          690            8
M4        1995          890           -2
M5        1995         1200           11
M1        1996          350             8
M2        1996          430            6
M3        1996          690           -5
M4        1996          890            4
M5        1996         1200           10


What I now would like to do is to match the Non-event firms with the
event firms. In doing so, I would like to match the firms by aid of
variable "BookValue". Specifically, I would like to obtain for each
event firm the non-event firm whose BookValue is closest to but bigger
than that of the event firm. As a result, I should obtain the
following dataset:


Dataset Final: Matched firms

ID     Year    BookValue     ERet     M_ID    M_BookValue      MRet
E1     1995       670         12        M3         690            8
E2     1995       380         -8       M2         430           12
E3     1995      1120         -4       M5        1200           11
E1     1996       682          9       M3         690           -5
E3     1996      1120         -2       M5        1200           10
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