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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Creating ten 10%-portfolios |

Date |
Fri, 1 Mar 2013 17:39:54 +0000 |

It sounds as if you need to check out the -xtile()- function in -egenmore- (SSC). Alternatively, here is a solution from first principles for what I think you are asking, but I have just written this down, not tested it. gen mdate = ym(year month) egen group = group(mdate) su group, meanonly local max = r(max) gen portfolio = . qui forval i = 1/`max' { xtile temp=illiq if group == `i' replace portfolio = temp if group == `i' drop temp } Nick On Fri, Mar 1, 2013 at 4:00 PM, Bo Spiljard <bo.spiljard@gmail.com> wrote: I am testing a version of the > CAPM and I need to make ten 10-percentile portfolios (sub groups) and > these have to be revised each month. This has to be done by creating a > new variable that contains the numbers 1 to 10 and each number should > represent a portfolio. > > Normally if I am stuck I could find the answer by searching on > statalist, but this problem I could not find. I allready tried alot of > things myself (i.e. using r(p10)) etc, but I cannot find the right > code. The data I have is: id, date (year, month and day), and illiq. I > need to create 10 equal portfolios based on the proportion of illiq > and this have to be revised each month. So each of the portfolio at > each month has to contain the same amount of ids, with in portfolio 1 > the id with the lowest value of illiq, in portfolio 2 the id with > slightly higher illiq, etc.. > > Also the data for each firm does not start and not end at the same > date and also for each date there is missing information, so I cannot > purely use the sort function. > > Here is an simplified example with allready portfolios added how it > should look like. > > id year month day illiq portfolio > > 1 2001 1 1 15 3 > > 2 2001 1 1 13 2 > > 3 2001 1 1 12 1 > > 1 2001 1 2 11 3 > > 2 2001 1 2 8 2 > > 3 2001 1 2 13 1 > > ... > > 1 2001 2 1 10 3 > > 2 2001 2 1 9 2 > > 3 2001 2 1 7 1 > > ... > > 1 2009 12 31 8 1 > > 2 2009 12 31 11 2 > > 3 2009 12 31 13 3 > > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Creating ten 10%-portfolios***From:*Bo Spiljard <bo.spiljard@gmail.com>

**References**:**st: Creating ten 10%-portfolios***From:*Bo Spiljard <bo.spiljard@gmail.com>

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