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st: comparing xtdes-like patterns for variables


From   László Sándor <sandorl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: comparing xtdes-like patterns for variables
Date   Wed, 31 Oct 2012 15:02:53 -0400

Hi all,

I have a panel-data cleaning problem that probably has some neat
solution, probably already out there. I am happy to try any solutions
for Stata 12.1 MP.

Background: I had to try to look up supposedly the same data from
multiple sources. (Financial data for the same securities, but
different data sources were expected to cover different subsets of my
universe, or for different time periods.)

But now I have a panel where I would like to cross-check different
version of the same data, and most crucially, I would like to verify
that I got the years correctly for each version. (FYI: financial data
sources can be opaque about how they handle missing data if you ask
for "end-of-year prices for the last 15 calendar years", and whether
they give years in ascending or descending order). For this, I would
like to compare what periods I have non-missing values for a family of
variables, say, bloomberg_price and reuters_price.

Presumably, if I got the start and the end years right, I could hope
-compare- those, (e.g. -compare *_price_first- ). And hope that the
patterns will be clear.

That said, I'm afraid some more nuanced analysis of missing value
patterns might be justified. What are good tools for that? (How can I
"xtdes by variable"? Or "misstable pattern in a panel"?)

Thanks for any thoughts!

Laszlo
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