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Re: st: Find the fiscal year for each obs


From   "Yu Chen, PhD" <profyuchen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Find the fiscal year for each obs
Date   Sat, 6 Apr 2013 09:24:16 -0500

Nick,
Thank you so much for the code. It works great. However, I have a
further question. Assume File A has 5000 firms, and each has 360 daily
stock price observations for 5 years, then there are 9,000,000
observations in File A. Assume File B has 5 years data (i.e., fiscal
year definition) for each firm, then there are 25,000 observations in
File B. If I use -merge-, the resulting file will be too large for the
computer to handle. So I think some kind of loop structure might need
to be used. Or there may be a better solution. Could you please help
me in this regard? What code will be good to handle this problem?
Best,

Yu Chen




On Sat, Apr 6, 2013 at 6:50 AM, Nick Cox <njcoxstata@gmail.com> wrote:
> I'd just -merge- the files. The convention seems to be that Fiscal
> Years are labelled by the year they start in. (It's _always_ a good
> idea to explain stuff that won't be universally understood; assuming
> that people work in your field is usually wrong.) Either way, there's
> a correction for dates that are in calendar years that differ from
> fiscal years. This example uses slightly different fake data. I used
> an ancient -merge- only because I am writing from an ancient machine.
> (I have Stata 12, but this machine doesn't read DVDs.)
>
> clear
> input str3 Firm str10 Date
> IBM    "2009/01/15"
> IBM    "2010/01/16"
> 3M     "2010/07/01"
> 3M     "2011/07/02"
> end
> gen Ndate = date(Date, "YMD")
> gen Fiscal = year(Ndate)
> sort Firm Fiscal
> save FileA, replace
>
> clear
> input str3 Firm  Fiscal  str10 Begin str10 End
> IBM    2009               "2009/03/01"   "2010/02/28"
> IBM    2010               "2010/03/01"   "2011/02/28"
> 3M    2010               "2010/06/01"    "2011/05/31"
> 3M     2011               "2011/06/01"     "2012/05/31"
> end
>
> gen Nbegin = date(Begin, "YMD")
> gen Nend = date(End, "YMD")
> sort Firm Fiscal
>
> version 10: merge Firm Fiscal using FileA
>
> replace Fiscal = Fiscal - 1 if !inrange(Ndate, Nbegin, Nend)
> drop _merge
> list Firm Fiscal Begin End Date
>
>
> Nick
> njcoxstata@gmail.com
>
>
> On 6 April 2013 12:15, Yu Chen, PhD <profyuchen@gmail.com> wrote:
>
>> I have two files. File A contains the daily stock price for each firm,
>> and file B contains the beginning and ending dates for a fiscal year
>> for each firm. See below for an illustration (data are hypothetical):
>>
>> File A:
>> Firm   Date                Price
>> IBM    2009/01/15       xxxx
>> IBM    2009/01/16       xxxx
>> ...................
>> 3M     2010/07/01       yyyy
>> 3M     2010/07/02       yyyy
>> ...................
>>
>> File B:
>> Firm   Fiscal Year      Beg. Date    End. Date
>> IBM    2009               2009/03/01   2010/02/28
>> IBM    2010               2010/03/01   2011/02/28
>> ..................
>> 3M     2010               2010/06/01    2011/05/31
>> 3M     2011               2011/06/01     2012/05/31
>> ..................
>>
>> Now, I want indicate in File A for each observation the fiscal year
>> the observation belongs to, according to the definition in File B.
>> Conceptually it seems easy: Just compare the date of the observation
>> in File A with the beginning and ending dates in File B.
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