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

[Sergiy Radyakin <serjradyakin@gmail.com>]

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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