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From |
"Michael I. Lichter" <mlichter@buffalo.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: Group building according to given report dates and company |

Date |
Fri, 20 Mar 2009 15:18:50 -0400 |

Hua,

----- use A, clear gen period = 1 if date >= d(01jan2004) & date < d(01feb2004) gen period = 2 if date >= d(01feb2004) & date < d(28feb2004) ... collapse (sum) ret, by(permno period) ----

----- use B,clear by permno, sort: gen per = _n // needed for reshape reshape wide retdats, i(permno) j(per) sort permno

gen byte period = 0 forvalues i = 1/11 { // you said there were 11 periods

} assert period > 0 & period < . // just to be sure collapse (sum) ret, by(permno period) -----

Michael Hua Pan wrote:

Dear Nick, thank you very much for your suggestion. Just as you adviced, I also want to make a subdivision into time periods, not smaller datasets. But I just wonder how can I do that.Maybe you have an good idea? My dataset after merge A and B look like this: permno date repdats ret 10002 04012004 04292004 .018296152 10002 04022004 07272004 .010668194 10002 04052004 10272004 -.000555568 10002 04062004 01242005 -.018343519 10002 04072004 04222005 .018686293 10002 04082004 07202005 -.016120011 10002 04122004 10122005 -.028248586 10002 04132004 01202006 -.012790768 10002 04142004 04212006 -.007656017 10002 04152004 07212006 -.001780456 10002 04162004 10202006 .029131973 ----------------------------------------------------- 10002 04192004 10202006 -.030040355 10002 04202004 10202006 .000595493 10002 04212004 10202006 .006547655 ... .... ... 10002 12312006 10202006It looks very strange, cause I have only 11 report dates, but around 700 dates of return for one permno. So the last repdats 10202006 repeats for the rest of observation.Best Regards Hua -------- Original-Nachricht --------Datum: Fri, 20 Mar 2009 15:13:33 -0000 Von: "Nick Cox" <n.j.cox@durham.ac.uk> An: statalist@hsphsun2.harvard.edu Betreff: st: RE: Group building according to given report dates and companyThere is a lot of detail that you are expecting members to upload here. Ihave not tried, but I have some broad strategic advice, exactly as before.There is no _obvious_ need here for subdividing into smaller datasetsfollowed by recombination.What is most evident is that you have a subdivision into time periods. So, create a variable that is 1, 2, etc. for your distinct time periods andthen use that new variable -by:- as in previous problems.One of the easy details about -by:- is that you can define blocks ofobservations on as many criteria as you wish.Nickn.j.cox@durham.ac.ukHua Pan Now I have a big problem and have thought about it over and over again and can’t find the way to solve it. Maybe someone here has can help me. I have two datasets, say A and B. A has permno (identify nr.), dailyreturn and date. B has permno, repdate (report date).Apermno date ret10001 01.Apr.2004 .0179310510001 02.Apr.2004 -.046070479 10001 05.Apr.2004 .022727251 10001 06.Apr.2004 -.005555551 10001 07.Apr.2004 .016759828 … … … 10001 31.Dec.2008 … 10002 01.Apr.2004 .018296152 10002 02.Apr.2004 .010668194 … … … 10002 31.Dec.2008 … 10003 01.Apr.2004 … … … … 93105 … … B:Permno repdate10001 21.Apr.200410001 20.July.2004 10001 26.Oct.2004 10001 03.Feb.2005 04.May.2005 … … 10002 23.Apr.2004 10002 22.July.2004 … … 93105 … … I wish to calculate cumulative daily return for each company and for each period, from the next two days after the report day to the day before next report day e.g. for permno 10001, I want to calculate the cumulative return for periods: (21.Apr.2004 +2= 23.Apr.2004, 20.July.2004 -1=19.Juli.2004), (22.July.2004, 25.Oct.2004), (28.Oct.2004, 02.Feb.2005)……for permno 10002, from 23.Apr.2004+2+1=26.Apr.2004 (because 25.Apr.2004 is Sunday, so I have to plus one day), to 21.July.2004…… (cumulative return for each day within period are to be calculated, almost 60 for each period) At first I tried to get dataset A and B together with merge, but not successful. use "C:\A.dta", clear sort permno date save "C:\A.dta", replace use "C:\B.dta", clear sort permno repdate merge permno using "C:\A.dta" keep if _merge == 3 drop _merge save "C:\AB.dta” Many of date and returns of A are deleted. Maybe I should try joinby, orjust change A as Master Data? How can I put them orderly together?Then I wish that I can build several groups according to the permno andreport date:group1: permno 10001 with daily return from 23.Apr.2004 to 19.Juli.2004group2: permno 10001 with daily return from 22.July.2004 to 25.Oct.2004group3: permno 10001 with daily return from 28.Oct.2004 to 02.Feb.2005 …. group n: permno 10002 with daily return from 26.Apr.2004 to 21.July.2004 ….. group m: permno 93105 with….. After I drop the Observations that don’t belong to any group, I can calculate cumulative return for each group, (thank Austin again for this code) bys group: g cumul=1+ret if _n==1 replace cumul=(1+ret)*l.cumul if mi(cumul) replace cumul=cumul-1Finally I drop the group with missing value and calculate the meancumulative return for those that have the same group number by group, sort: generate nr=_n by nr, sort: egen mean_cumul=mean(cumul) So the question is how can I put two dataset together and then put the observations into groups according to permno and report date and pay attention that the period begins and ends with work day. When I solve this problem,then I can calculate the mean cumulative return.Any suggestion would be greatly appreciated. Thank you very much.* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

-- 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: Group building according to given report dates and company***From:*"Hua Pan" <panhua@gmx.de>

**References**:**st: Group building according to given report dates and company***From:*"Hua Pan" <panhua@gmx.de>

**st: RE: Group building according to given report dates and company***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: Group building according to given report dates and company***From:*"Hua Pan" <panhua@gmx.de>

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