Re: st: Decile sorts

[Philipp Rehm <Philipp.Rehm@gmx.de>]

On 1)
You may find the user-written program -sumdist- useful (type "findit 
sumdist") to, well, find it.

HTH,
Ph

Thomas Erdmann wrote:

> Hi,
>
> I am trying to sort my observations into deciles according to one attribute
> and afterwards calculating the average of another attribute of those ten
> groups. 
> (Basically different kinds of financial ratios for a group of companies to
> check afterwards, if the decile portfolios have significantly different
> rates of return). 
> Please find the code I came up with below [lines with ... are omitted], yrm
> is the time variable (YearMonth)
>
> (1) As far as I can tell it works out, but a) it's a lot of code and
> b)produces a lot of variables and c)generating the output is rather awkward.
>
> Could you give me hints on how to implement a smarter solution or if there
> are any errors in the way the calculation is carried out currently?
>
> (2) In an earlier mail it was suggested to use -anova- to assess the
> equality of portfolios. I now found a study which uses a Chi-Square
> statistic to assess the null hypothesis of equality of portfolios by using
> GMM with the moment conditions: 
> e1= R1 - MR; e2= R2 - MR; ...; e10 = R10 - MR
> where R1 to R10 are the returns of the decile portfolios and MR is the Mean
> Return parameter to be estimated (therefore over-identified equation with 10
> moment conditions and only one parameter to be estimated). How can this be
> translated into Stata commands?
>
> Thanks a lot.
> Tom
>
>
> *------------------------------
> * DECILE PORTFOLIOS
> *------------------------------
>
> *** Generate Percentiles
> sort yrm 	
> 	foreach X of varlist c1* {
> 	by yrm: egen p10_`X'= pctile(`X'), p(10.0)
> 	by yrm: egen p20_`X'= pctile(`X'), p(20.0)
> 	by yrm: egen p30_`X'= pctile(`X'), p(30.0)
> 	...
> 	by yrm: egen p90_`X'= pctile(`X'), p(90.0)
> 	}
>
> *** Sort into Percentile groups
> 	foreach X of varlist c1* {
> 	gen G_`X'=1 if `X'<p10_`X' & `X'~=.
> 	replace G_`X'=2 if `X'>p10_`X' & `X'<p20_`X' 
> 	... 
> 	replace G_`X'=9 if `X'>p80_`X' & `X'<p90_`X' 
> 	replace G_`X'=10 if `X'>p90_`X' & `X'~=.
> 	}
>
> *** Calculate return mean for each group
> sort yrm
> 	foreach X of varlist G* {
> 	by yrm: egen R1`X'= mean(c1ds_ri) if `X'==1
> 	by yrm: egen R2`X'= mean(c1ds_ri) if `X'==2
> 	...
> 	by yrm: egen R9`X'= mean(c1ds_ri) if `X'==9
> 	by yrm: egen R10`X'= mean(c1ds_ri) if `X'==10
> 	}
>
> *** Results
> preserve
> collapse (mean) R*
> summarize
> restore
>
> *
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