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From |
Amy Dunbar <Amy.Dunbar@business.uconn.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Adding output created in Mata to a Stata dataset. |

Date |
Wed, 29 Sep 2010 13:19:10 +0000 |

Thank you, Steve. I tried the code in Gould's response to you, but I get a conformability error. I want to write one value (Y[2,1]) for every firm for date1. I tried "getmata" but I can't make that work either. Amy Dunbar UConn __________________________________________________ Date: Mon, 27 Sep 2010 23:42:30 -0400 From: Steve Samuels <sjsamuels@gmail.com> Subject: Re: st: Adding output created in Mata to a Stata dataset. Perhaps http://www.stata.com/statalist/archive/2007-10/msg00591.html will answer your question. Steve sjsamuels@gmail.com -----Original Message----- From: Amy Dunbar Sent: Monday, September 27, 2010 9:51 PM To: 'statalist@hsphsun2.harvard.edu' Subject: Adding output created in Mata to a Stata dataset. My dataset has daily returns for 816 trading days for 1200 companies. To create an equally weighted daily return across this portfolio of firms, I could use bysort date: egen meanret=mean(ret). But I want to create a weighted return based on a company characteristic, e.g., size. My ultimate purpose is use reg meanret vwretd event1-event11 where meanret would be the weighted return for each trading day, vwret is the value-weighted market return, and event1-event11 are event days for a market study, where the coefficient on an event date would be the abnormal return. See Sefcik, S.E., and R. Thompson. 1986. An Approach to Statistical Inference in Cross-Sectional Models with Security Abnormal Returns As Dependent Variable. Journal of Accounting Research 24 (2):316-334. The following do file creates a weighted daily return that varies by date but is the same for each company in the dataset (just as meanret would be the same). I created a small dataset below, where r is one day of returns for 10 companies, and v is a company characteristic. I read Gould. 2006. Mata Matters: Creating new variables -sounds boring, isn't. The Stata Journal 6 (1): 112-123, but I still don't understand how to use st_addvar() and st_store to add the second row of the following Y matrix (created by the do file below) to each observation in the original dataset. I also read Cameron and Trivedi, 2009, Microeconometrics Using Stata, Ch 3, OLS Using Mata, and Appendix B, Mata. The solution is probably there, but I am a mata newbie. 1 +----------------+ 1 | .0076411483 | 2 | -.0111004781 | +----------------+ In the dataset below, I want each obs (row) to have -.0111004781 as the weighted return for trading date 1. If I had all 816 trading dates and 1200 companies, Y would be 2 X 816; I want to add the 816 daily weighted return variables to my dataset, which would be the same across the companies. ___________________________________________________ * do file creates weighted return for a portfolio of 10 firms * create dataset for one trading day, where r is return and v is a firm characteristic. input r v 0.002 0.2 0.001 0.4 0.004 0.5 0.001 0.4 0.009 0.1 0.004 0.2 0.006 0.3 0.007 0.4 0.001 0.5 0.007 0.1 end gen cons = 1 mata st_view(R=., ., ("r")) st_view(F=., ., ("cons", "v")) FFinv=cholinv(cross(F,F)) W = FFinv * F' Y = W*R //create weighted returns Y end ______________________________________ How do I add the weighted return for trading day 1 (-.0111004781) to each observation in my Stata dataset? Thank you for considering my request for help. Amy Dunbar University of Connecticut School of Business Department of Accounting cell 860-208-2737 amy.dunbar@business.uconn.edu * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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