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st: help- overlapped sample splittings


From   Albert Robinson <robinson9837@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: help- overlapped sample splittings
Date   Mon, 22 Oct 2007 13:57:15 +0400

Fellow listers

I am running a panel data model with Stata and my database is an incomplete panel of 997 firms and some variables, max range: 1980 - 2000 (but some firms have a lower range).

I need your help to make some calcutation on a variable, hereafter called "mvalue" (it's a ratio). First of all, for each year, we can find negative or positive or zero values of "mvalue". What I need to build:

* by considering the distribution of this variable, I would identify as "LOW mvalue" those firms that are above the 25th percentile of the distribution of the negative values. Note that this selection should produce a dummy-column where - e.g. - the same firm could have zero and one randomly distributed or only zero or one. Vice versa, HIGH mvalue firms are above the 25th percentile of the distribution of firms experiencing positive values of the values.

** Finally, created these two dummies (two columns), for a firm to be identifies as a PERSISTENTLY LOW (HIGH) mvalue, I require that it be identified as a LOW (HIGH) mvalue firm for at least two consecutive periods. This would produce two other columns, for PERSISTENTLY LOW and PERSISTENTLY HIGH mvalue.

I am new to the list, so I apologize in advance if the answer to these questions was easy.  I would appreciate your help and I would be very, very grateful I somebody could write me the Stata commands (with or without an example) useful for sample splittings of this kind.


Albert Robinson

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