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st: RE: xtile from the start of a period


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtile from the start of a period
Date   Tue, 26 Feb 2008 00:15:02 -0000

I don't know what a decile rank here is for certain. I guess it
resembles a percentile rank
as documented at 

How can I calculate percentile ranks?
http://www.stata.com/support/faqs/stat/pcrank.html

Also for filling in you might look at 

How can I replace missing values with previous or following nonmissing
values or within sequences?
http://www.stata.com/support/faqs/data/missing.html

although what I am going to suggest is a standard application of -by:-. 

In your case, your structure is something like 

compid BY month BY market_value 

and so you can rank values in month 120, which is your first month,
given your example 
and assuming use of the Stata date system. 

egen rank = rank(market_value) if month == 120 

Ranks can be compared with the total number of companies using 

egen N = total(1) if month == 120 & rank < . 

although there are many other ways to get that number. 

Then your decile rank is perhaps something like 

gen decilerank = ceil(10 * rank / N) 

Those variables are defined for (at most) month 120. 
So you need to spread them to other values.  

bysort compid (month) : replace decilerank = decilerank[1] 

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

John Hund

A simple question whose answer I can't find in the very interesting  
xtile by groups discussion.  In this case I have data (market values)  
on companies (compid) monthly. Ideally I would like to generate a  
variable containing the decile rank of the company based on their  
market value at the beginning of a period (i.e. their decile in  
January 1970) and have that variable contain the decile rank for all  
monthly observations of the compid for a particular time window (i.e.  
1970-1975). That is, there would be a variable that contains the  
decile rank from Jan70 for all monthly observations of a compid for  
the next 5 years.  I suspect that my question is less about xtile and  
more about filling in, since it is easy to get the decile rank for  
the first month...I just can't "fill" it in for the next (in this  
case) 59 observations of each company.


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