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From |
"Yu Chen, PhD" <profyuchen@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 1 Mar 2013 17:13:04 -0600 |

If Stata Corp. can improve -xtile- by enabling by: prefix, that will be much better. On Fri, Mar 1, 2013 at 2:11 PM, Bo Spiljard <bo.spiljard@gmail.com> wrote: > Thank you for your solution! > I was not informed that the -xtile()- function could do this. > After a couple tries and some fiddling I managed to do it with this function. > > It is not the most tidy solution it does the work. > > The code I used: > > > gen illiq2=illiq > > sort id year month illiq2 > > quietly by id year month illiq2: gen dup=cond(_N==1,0,_n) > > replace illiq2=. if dup>1 > > xtile temp = illiq2, nq(10) > > by id year month: egen portfolio1=max(temp) > > drop dup > > drop illiq2 > > drop temp > > sort id year month day > > On Fri, Mar 1, 2013 at 6:39 PM, Nick Cox <njcoxstata@gmail.com> wrote: >> 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/ > * > * 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/ * * 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:*Maarten Buis <maartenlbuis@gmail.com>

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

**Re: st: Creating ten 10%-portfolios***From:*Nick Cox <njcoxstata@gmail.com>

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

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