Re: st: Routine from do-file that every time it's run gives a different result

[Nick Cox <njcoxstata@gmail.com>]

But that solves the problem with the price of not understanding it.
Somewhere Clarice has hidden assumptions about the -sort- order being
enough to get the right order without extra information that are not
correct.
Nick
njcoxstata@gmail.com


On 6 November 2013 21:46, Sergiy Radyakin <serjradyakin@gmail.com> wrote:
> Clarice, add the option stable to the sort commands. Without this
> option, the -sort- command will break the ties randomly. See here:
> http://www.stata.com/help.cgi?sort
>
> Best, Sergiy
>
> On Wed, Nov 6, 2013 at 4:30 PM, Clarice Martins
> <martins.clarice@gmail.com> wrote:
>> Dear Statalist group,
>>
>> I have a routine that apparently was running ok, and then I noticed that everytime I execute the code I get different results for one of the variables.
>> (The routine is long, so I don't know how to best provide you guys with enough info.)
>>
>> 1) I believe the problem has to do with variable -P5- since this is the variable which average changes every time I run the code.
>>
>> 2) Sample of the results, I am getting:  as you can see variable P1 is always approximately the same (it should be the same) and variable Strategy is ALWAYS the same, but var -P5- changes by a lot. (I've shown two outputs, but I've ran it several, several times.)
>>
>>
>> . esttab .
>>
>> ----------------------------
>>                       (1)
>>                      Mean
>> ----------------------------
>> P1                  0.300***
>>                    (3.41)
>>
>> P5                  6.154
>>                    (1.53)
>>
>> strategy            7.190
>>                    (1.78)
>> ----------------------------
>> N                     150
>> ----------------------------
>>
>>
>> ----------------------------
>>                       (1)
>>                      Mean
>> ----------------------------
>> P1                  0.223*
>>                    (2.24)
>>
>> P5                  3.286
>>                    (1.15)
>>
>> strategy            7.190
>>                    (1.78)
>> ----------------------------
>> N                     150
>> ----------------------------
>>
>> 3) Piece of the code that deals with creating and changing variable P5: (my apologies if this is confusing or too long)
>>
>> ***create variable P1/P5 and sum all 1st/5th quintiles per <yrmonth>
>> gen P1_sell = .
>> quietly levelsof yrmonth, local(levs)
>> quietly foreach lev of local levs {
>>         egen work=total(return) if rtype=="buy_sell_period" & yrmonth == "`lev'" & quintile==1
>>         replace P1_sell=work if rtype=="buy_sell_period" & yrmonth == "`lev'" & quintile==1
>>         drop work
>> }
>>
>> gen P5_buy = .
>> quietly levelsof yrmonth, local(levs)
>> quietly foreach lev of local levs {
>>         egen work=total(return) if rtype=="buy_sell_period" & yrmonth == "`lev'" & quintile==5
>>         replace P5_buy=work if rtype=="buy_sell_period" & yrmonth == "`lev'" & quintile==5
>>         drop work
>> }
>>
>> sort quintile yrmonth rtype
>>
>> **undo the buy/sell operation
>> *in order to do the procedure, first copy quintile #s to same <co_id> but for 6 <yrmonth> LATER
>>
>> bysort co_id period: egen tocopy2 = total(quintile / (rtype == "buy_sell_period"))
>> bysort co_id rtype (negperiod) : replace quintile = tocopy2[_n+6] if missing(quintile) & rtype == "hold_period"
>> sort quintile yrmonth rtype
>>
>> *add sums of 1st/5th quintiles for <hold_period> to variables P1/P5
>>
>> quietly levelsof yrmonth, local(levs)
>> quietly foreach lev of local levs {
>>         egen work=total(return) if rtype=="hold_period" & yrmonth == "`lev'" & quintile==5
>>         replace P1_sell=work if rtype=="hold_period" & yrmonth == "`lev'" & quintile==5
>>         drop work
>> }
>>
>> quietly levelsof yrmonth, local(levs)
>> quietly foreach lev of local levs {
>>         egen work=total(return) if rtype=="hold_period" & yrmonth == "`lev'" & quintile==1
>>         replace P5_buy=work if rtype=="hold_period" & yrmonth == "`lev'" & quintile==1
>>         drop work
>> }
>> sort quintile yrmonth rtype
>>
>>
>> ***------procedures for Strategy analysis
>> **preparing time-series
>> *P1 is the variable to use for the time-series / keep -P1_sell- intact just for the sake of it
>>
>> gen P1 = P1_sell
>> gen copyP1=P1
>> replace P1 = . if P1 == copyP1[_n-1]
>> drop copyP1
>>
>> *P5 is the variable to use for the time-series / keep -P5_buy- intact just for the sake of it
>>
>> gen P5 = P5_buy
>> gen copyP5=P5
>> replace P5 = . if P5 == copyP5[_n-1]
>> drop copyP5
>>
>> *keeping only time-series variables & unique records
>> keep P1 P5 period
>>
>> sort period P1 P5
>> quietly by period P1 P5:  gen dup = cond(_N==1,0,_n)
>> drop if dup>0
>> drop dup
>>
>> sort period P1 P5
>> gen P5copy = P5
>> replace P5 = P5copy[_n+1] if P5 >= .
>> replace P5 = P5copy[_n+3] if P5 >= .
>> drop P5copy
>>
>> sort period
>> quietly by period: gen dup = cond(_N==1,0,_n)
>> drop if dup>2
>> drop dup
>>
>> gen temp = P1 + P5
>> drop if temp >= .
>> drop temp
>>
>> by period: egen strategy=total(P1 + P5)
>>
>> sort strategy
>> quietly by strategy: gen dup = cond(_N==1,0,_n)
>> drop if dup>1
>> drop dup
>>
>> sort period
>>
>> ** changing into a time-series // not sure if it is necessary yet...
>> tsset period
>> mean P1 P5 strategy
>> ******end of code
>>
>> Thanks for your consideration! Any comment or suggestions will be appreciated.
>> Clarice
>>
>>
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>
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