Re: st: Difficulties in variable calculation using panel data

[Christopher Baum <kit.baum@bc.edu>]

On Oct 30, 2010, at 2:33 AM, Leon wrote:

> When doing this, I face two problems:
> 
> I. Weekends are treated as gaps, thus no return for Monday is computed, but Stata should rather use Fridays' value to compute it. May I skip the 'daily' option in the xtset command?
> 
> II. The results are wrong when I proof them randomly by hand. I guess Stata mixes up the groups. How can I tell Stata to look at the timeseries for each group separately?
> 
> b) Second, I want to compute another variable using the following formula but don't know how to tell it Stata:
> dev = 1/N * sum( abs(return_i, t     -     return_m,t) )
> 
> N = total number of groups within panel (can be substituted by [ `=_N' ], right?)
> return_i,t = return of group i at time point t
> return_m,t = average return across all groups at time point t
> 
> c) finally I try to run a regression on dev
> 
> xtreg dev return …
> 
> But in the regression I want Stata to (theoretically) do one regression per t and compute the average values over all regressions, so I need just the cross-sectional and not the timeseries information in the data.

// with regard to maintaining both a conventional calendar (e.g., to identify weekends)
// and a time-series calendar (1..T), see:

// http://www.stata-journal.com/article.html?article=dm0028

clear all
webuse grunfeld, clear
g fakeret = log(invest / L.invest) 
// create a variable containing annual average abs deviation from time mean
egen mufake = mean(fakeret), by(year)
g absdev = abs(fakeret - mufake)
egen muabsdev = mean(absdev), by(year)
tabstat muabsdev, by(company) stat(mean sd)
tabstat muabsdev, by(year) stat(mean sd)

// the remainder of your posting is problematic. To run a regression for each t of dev on return,
// note that dev (musabsdev as above) is a constant for each t. So how can you run such a regression?

// to run a firm-specific regression and save the coefficients, use the -rolling- prefix.




Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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