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From |
Nick Cox <[email protected]> |

To |
"[email protected]" <[email protected]> |

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

Date |
Wed, 6 Nov 2013 23:53:18 +0000 |

```
Agreed. My use of the word "solving" here was certainly ironic.
Nick
[email protected]
On 6 November 2013 22:11, Sarah Edgington <[email protected]> wrote:
> Clarice,
> Nick's right that you need to do more digging. However, I would argue that
> the solution of using the stable option to -sort- is worse than "[solving]
> the problem with the price of not understanding it." Using -sort, stable-
> is actually just pretending that there is not a problem at all. Yes, that
> strategy will get you consistent results, but the chances that they'll be
> the right results are pretty slim. Being able to reproduce the wrong answer
> is generally just as bad as not being able to reproduce the answer at all.
>
> To be a bit more explicit, what sort order you end up with clearly matters
> for your results. You need to figure out why the variables you're sorting
> on are not producing unique results and figuring out how to fix that that.
> Using -sort, stable- may very well appear to fix your problem but presumably
> you care whether the average of P5 is 6.154 or 3.286. If you don't do more
> investigation you'll never know which of those is the number you're really
> looking for (or whether it's something else completely).
>
> One thing that I find useful when troubleshooting this kind of problem is to
> use -sum- after every section where I create new variables with values where
> sort order matters. Then I'll run the dofile multiple times, saving a
> logfile with a different name each time. Usually you can pretty quickly
> spot where things went wrong by comparing the log files from two different
> runs, as long as you put in descriptive of your created variables along the
> way.
>
> Another useful command when trying to identify whether you're uniquely
> sorting observations is -isid-. Any combination of variables that don't
> function as a unique ID will leave you with ties on the sort, leading to the
> kind of unpredictable results you see here.
>
> -Sarah
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Nick Cox
> Sent: Wednesday, November 06, 2013 1:51 PM
> To: [email protected]
> Subject: Re: st: Routine from do-file that every time it's run gives a
> different result
>
> 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
> [email protected]
>
>
> On 6 November 2013 21:46, Sergiy Radyakin <[email protected]> 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
>> <[email protected]> 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
>>>
>>>
>>> *
>>> * For searches and help try:
>>> * http://www.stata.com/help.cgi?search
>>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>>> * http://www.ats.ucla.edu/stat/stata/
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/faqs/resources/statalist-faq/
>> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/faqs/resources/statalist-faq/
> * http://www.ats.ucla.edu/stat/stata/
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/faqs/resources/statalist-faq/
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
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* http://www.ats.ucla.edu/stat/stata/
```

**References**:**st: Routine from do-file that every time it's run gives a different result***From:*Clarice Martins <[email protected]>

**Re: st: Routine from do-file that every time it's run gives a different result***From:*Sergiy Radyakin <[email protected]>

**Re: st: Routine from do-file that every time it's run gives a different result***From:*Nick Cox <[email protected]>

**RE: st: Routine from do-file that every time it's run gives a different result***From:*"Sarah Edgington" <[email protected]>

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