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From |
Julian Schumacher <schumacher@hertie-school.org> |

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

Subject |
st: Which N assumes -pweight- in combination with -collapse X, by(id date)- |

Date |
Tue, 25 Sep 2012 16:37:19 +0200 |

Dear All, I assume there is an obvious answer to my question, but I’m not entirely sure myself after reading up on it. I’ve got a panel dataset which consists of a time series dimension, indicated by variable “date”, and multiple cross-sectional dimensions of countries, identified by “country_id”, and country-specific financial assets, denoted by variable “asset_id”, hence my total number of observations is (#assets by country)*(#countries)*T. The assets have a time-varying market capitalization, denoted by “mcap”. I want to compute market-capitalisation weighted statistics of a number of variables by country and date, for instance the mean return of assets in country j at date k. Would it be correct to use: -collapse (mean) return [pweight = mcap], by(country_id date)- The background to this question is that I found -pweight- defined as w_i in the following equation for the weighted mean ybar_w = 1/W * Sum_i^N (w_i * y_i) where W = Sum_i^N (w_i) (see Cameron/Trivedi 2009, Microeconometrics using Stata). Now if -pweight- defines N as the number of assets by country (at least in combination with -by(country_id date)-), the above should be correct I think; but if it defines N as the number of overall assets (i.e. number of assets by country*number of countries) then the weighting would not yield the statistics by country I am looking for… Thanks for your advice, Best Julian ___________________________________ Julian Schumacher schumacher@hertie-school.org * * 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/

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