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Re: st: Range Merging


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Range Merging
Date   Wed, 5 Mar 2008 20:49:34 -0500

Malcolm Wardlaw <malcolm@mail.utexas.edu>:
Reading your post again, it seems clear to me that you should use some
variety of matching program; what do you gain by matching a company to
*all* other companies in the universe in some bin, as opposed to
matching to the nearest k neighbors using e.g. -nnmatch- or
-psmatch2-?

On Wed, Mar 5, 2008 at 8:40 PM, Austin Nichols <austinnichols@gmail.com> wrote:
> Malcolm Wardlaw <malcolm@mail.utexas.edu>
>  Do you want to keep multiple observations per "event" company on the
>  "matching" companies (with two ID variables defining companies and
>  groups of companies)?  Or do you want some aggregate measure of
>  matching companies, such as mean assets? For the latter problem, I
>  prefer to merge without a matching variable, then loop over
>  observations as shown at
>  http://www.stata.com/statalist/archive/2007-01/msg00079.html
>
>  "each of these group of sample firms " sounds like the former problem;
>  a many-to-one almost-nearest-neighbor problem.
>
>  You may want -findit nearmrg- or -findit nnmatch-
>
>
>
>  On Wed, Mar 5, 2008 at 3:13 PM, Malcolm Wardlaw <malcolm@mail.utexas.edu> wrote:
>  > I wanted to pose this question to Statalist regarding matching data to a
>  >  range of values instead of exact values.  I kind of asked this question
>  >  before, but I realized from the response that my question was somewhat
>  >  ill formed, so I'll try to be as explicit as possible.  I will use an
>  >  example to illustrate the question.
>  >
>  >  Let's say I want to do a long-run event study on the changes in real
>  >  growth of companies.  In order to do this, I need to appropriately match
>  >  the company I am running the event study on to a group of comparable
>  >  companies.  For this, I need a matched dataset of all companies that
>  >  match in a range of accounting variables.
>  >
>  >  The match occurs as follows.  I have a data set (1) containing all of
>  >  the companies I wish to perform the event study on.  I need to then
>  >  create a dataset (2) that contains matching companies from a dataset of
>  >  the larger Compustat universe of all firms (3).  To do this, I need to
>  >  gather all firms that have the same SIC code, sales that are between 15%
>  >  and -15% of the event company, and assets that are between 20% and -20%
>  >  of the event company in the quarter of the event.  The new dataset must
>  >  also have a marker for each of these group of sample firms that
>  >  corresponds to the event firm.
>  >
>  >  Here is how I originally dealt with the problem. In the program, Stata
>  >  is continually cycling through the data, loading part of another dataset
>  >  into memory, appending it to another dataset from disk, saving that
>  >  dataset to disk, and then reloading the original dataset from disk each
>  >  time.  It works, but it seems very inefficient.
>  >
>  >  Is there a best practice on how to do this, or is this basically as good
>  >  as it's going to get?
>  >
>  >  ---------------------------------------
>  >  local num = _N
>  >  forval i = 1/`num' {
>  >     /*The sales of Event Company i*/
>  >     local sales=sales[`i']
>  >     /*The quarter of the observation*/
>  >     local qtr=eventquarter[`i']
>  >     /*SIC code*/
>  >     local sic=sic3[`i']
>  >     /*Assets of the event company*/
>  >     local assets=qassets
>  >     /*A code that uniquely tags the event*/
>  >     local code=code[`i']
>  >     quietly:use compustat if  `qtr'=obsqtr & `sic'=sic3 &
>  >  qsales<=1.15*`sales'/*
>  >     */ &
>  >  qsales>=.85*`sales'&qassets<=1.2*`assets'&qassets>=.85*`assets', clear
>  >     gen code=`code'
>  >     append using comparables
>  >     quietly:save comparables,replace
>  >     use events
>  >  }
>  >  ---------------------------------------
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>
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