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st: Data Management Issue


From   thomas bourveau <thomas.bourveau@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Data Management Issue
Date   Sun, 10 Mar 2013 00:53:32 +0100

Dear Statalisters,

I'm struggling a little bit with some data management issues.

I want to test if firms change their behavior after one of their
competitors defaulted. Specifically, I want to compare some risk
taking measures in the two years before to the two years after this
specific event occurred within an industry.

I currently have two datasets:

Dataset 1: The Event dataset

In this dataset, I have around 1,000 observations of default events
over 15 years for private companies. For each case, I have the
identifier of the firm, an industry indicator and the year of
occurrence of the event.

Dataset 2: The Universe dataset

In this dataset, I have computed my measures of risk taking and some
controls variables for the entire universe of firms. I also have a
firm id, a year indicator and an industry indicator.

1. First, let's assume that I want to follow a simple difference
approach (i.e not building a counterfactual control sample). For each
event, I need to "label" all observations in the industry as "Pre" in
the years t and t-1 and "Post" in the years t+1 and t+2.

My idea was to create a separate file for each of my 1,000 events.
Then I would merge it with the dataset number 2 and keep only
observations within the industry  in the time period of interest.
Finally, I would append all the 1,000 files together to obtain my
final dataset.

Does it seems right to you ? Does anyone has an idea on a quicker /
better way to do it ?

2. My concern is that if now I want to build a control group based on
an industry with similar characteristics, my approach will not allow
me to find an industry with no events.

Does anyone have an idea ?

Thanks in advance

Best,
Thomas



--
Thomas Bourveau
thomas.bourveau@gmail.com
0637573925
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