[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: How to avoid inflating observation numbers and t-stats? |

Date |
Wed, 5 Aug 2009 21:17:42 +0200 |

<> -bys month asset: keep if _n==1- HTH Martin -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stata Chris Sent: Mittwoch, 5. August 2009 21:14 To: statalist@hsphsun2.harvard.edu Subject: st: How to avoid inflating observation numbers and t-stats? Dear Statalisters. I have a question again. In my dataset, in which each observation consists of a different fund-asset-month triple (but not all asset-fund pairs are present in each month), I have generated a variable "p_it" that varies across asset-period pairs, but within each asset-period pair takes the same value for all funds present. Now I would like to regress (for each month) "p_it" on "L.p_it" (the lag of "p_it"). Now I believe that If I simply type "reg p_it L.p_it" I will get the right coefficient estimates, but inflated t-statistics, because for each asset-month Stata would consider all (between 11 and 18) funds, although in fact within each asset-month the values of p_it and L.p_it are the same for each fund. To get around this, I was considering to keep only one fund with all asset-month observations on p_it. But I cannot simply use say "keep if fundid==1", because for some assey-months fund 1 (or any other, for that matter) may not exist, although other funds may have observations on that asset-month. I then considered to use "fillin fund asset month", then fill in all values for fund 1 and then drop the others, but using the fillin here would take forever. So I was wondering whether I could generate one artifical fund (say fundid==100) with observations on each asset-month, so that I could then drop all other funds' observations and be left with exactly one observation per asset-month. But I am not sure how to add observations on each asset-month for this extra fund. Plus, this all seems a bit complicated for what should be an easier problem. Does anyone have an easier way of telling Stata that it should count every unique month-asset as only one observation, regardless of which fund it comes from? Many thanks, Chris * * 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/ * * 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/

**References**:**st: How to avoid inflating observation numbers and t-stats?***From:*Stata Chris <statachris@gmail.com>

- Prev by Date:
**st: AW: -clist- doesn't work in Stata 11** - Next by Date:
**st: How to avoid inflating observation numbers and t-stats?** - Previous by thread:
**st: How to avoid inflating observation numbers and t-stats?** - Index(es):

© Copyright 1996–2014 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |