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Re: st: RE: Build groups with the same first two numbers of SIC


From   "Michael I. Lichter" <mlichter@buffalo.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Build groups with the same first two numbers of SIC
Date   Thu, 19 Mar 2009 13:22:42 -0400

Nick's method looks good to me, but -sicgroup- can be generated automatically by

gen sicgroup = int(sic/100)

-ml

Nick Cox wrote:
I can't see any reason whatsoever here for your strategy of separating into smaller datasets and then putting them together. I'll guess that -sic- is numeric. You need a variable, say -sicgroup-, that you put together the hard way gen sicgroup = 2 replace sicgroup = 1 if sic == 3674 replace sicgroup = 3 if sic == 3861 replace sicgroup = 4 if sic == 4213 Then it's just egen mean = mean(ret), by(sicgroup date) Nick n.j.cox@durham.ac.uk
Hua Pan

I have a list of firms with four digit sic code, permno (identify Nr. for firms), date and return and wish to get daily mean return within the group, which has the same first two numbers of SIC code.

My Dataset look like this:

sic permno date ret
3674   10012    5.Jan.2004
        10012    6.Jan.2004
       10012    7.Jan.2004
3674   10259    5.Jan.2004
       10259    6.Jan.2004
       10259    7.Jan.2004
3674 10299 10299 10299 3674 10302
       10302
       10302
-----------------------------------------------------------------
3714   10667
       10667
       10667
------------------------------------------------------------------
3728   10145
       10145
       10145
------------------------------------------------------------------
3861   10163
       10163
       10163
------------------------------------------------------------------
4213   10379
       10379
       10379
4213   10649
       10649
       10649


At first I want to build several groups. Firms within each group have the same character: the first two numbers of their SIC codes are identical. For the example above sic permno
Group1: 3674              10012, 10259, 10299, 10302
Group2: 3714, 3728        10667, 10145
Group3: 3861              10163
Group4: 4213              10379, 10649

Then I wish to get mean daily return for each group.

So I just tried to separate the big dataset into several sub dataset, and calculate daily mean return for each of them. Then I get the sub datasets together with “append”. For the first step, I did:
. local n=3600
. while `n' <4300 {
  2. use "D:\sic.dta", clear
  3. keep if sic >=`n' & sic < `n'+100
4. by date, sort: egen meanret=mean(ret) 5. save "D:\ph\sic\sic_`n'.dta"
  6. local n=`n'+100
  7. }


It is successful for 36xx, 37xx. But when `n’== 3900, all observations in the complete file “D:\sic.dta" are deleted, because none of them meet the requirement: sic>=3900 & sic < 4000, so there is an error:
(y observations deleted)
__000001 not found

y is the number of all the observations in complete dataset.

There are a huge number of observations, so I can’t do it one by one. Has anyone here an idea to solve this problem? Or some easier methods to generate such groups (I’ve also tried, but failed to get it ), so I can get the daily mean return with:

by group date, sort: egen meanret=mean(ret)

Btw, I’m using stata 10.

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--
Michael I. Lichter, Ph.D.
Research Assistant Professor & NRSA Fellow
UB Department of Family Medicine / Primary Care Research Institute
UB Clinical Center, 462 Grider Street, Buffalo, NY 14215
Office: CC 125 / Phone: 716-898-4751 / E-Mail: mlichter@buffalo.edu

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