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st: RE: Dividing Panel data into quartiles

From   "Nick Cox" <>
To   <>
Subject   st: RE: Dividing Panel data into quartiles
Date   Thu, 16 Apr 2009 16:58:04 +0100

I always wonder why people how want to do something like this, which is,
or appears to be, just throwing away information. 

That said, Ulrich Kohler's -xtile()- in -egenmore- from SSC supports
classification in separate groups. 



I have a panel data set, with data on a number of
firms over a number of years. Each observation is
for a particular firm and year, and has various data
for that observation. The firms are classified by a two
digit industrial classification scheme called NIC2.

I would like to divide my data into 4 quartiles or 5
quintiles, on the basis of one of my variables,
liquidity. So I would like to create a variable, call it
quartile, that has the value 1 if that observation for the 
firm  is in the top quartile of liquidity for that year for that
industry, has the value 2 if that observation is in the second quartile
of liquidity for that year and industry, etc. (a firm
might have different values of "quartile" in different
years, depending on which quartile of liquidity it fits
into in a particular year. The quartiles will probably
contain somewhat different firms in each year.)
The complication is that I want the firms divided
into quartiles for each year and also each industry. I
think  the command xtile would probably work here
to divide firms into quartiles, but I am not sure as to how
the code would have to  work to get all firms in a year sorted
by industry and then divide them into quartiles, although it seems
like it should be simple.

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