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st: RE: Lag Operator
From
Nick Cox <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
st: RE: Lag Operator
Date
Fri, 24 Jun 2011 10:31:06 +0100
Suppose I observe firm Raychaudhuri Corporation at times 1, 2, 3 and 5, so that there is a gap in the data at time 4. The gap is what bites for this and other examples.
_n-1 is the subscript for the previous observation. After -sort-ing appropriately, the previous observation for time 5 is that for time 3.
L. gives you the value for the previous time. For time 5, that would be time 4, but time 4 is not present in the data, so L. for any variable will return missing for time 5.
Nick
[email protected]
Jibonayan Raychaudhuri
I am a bit confused about the way the L (lag) operator
behaves in Stata.
For a panel of firms I first create the following lagged
varaibles:
#delimit;
iis compname;
tis newyear;
gsort +compname +newyear;
#delimit;
local varlist1
sales
forexsales;
foreach var of local varlist1{;
by compname: generate L1log`var'= log`var'[_n-1];
by compname: generate L2log`var'= log`var'[_n-2];
by compname: gen D1log`var'= log`var'[_n]-log`var'[_n-1];
};
Next I create :
#delimit;
iis compname;
tis newyear;
gsort +compname +newyear;
xtset compname newyear;
#delimit;
local varlist1
sales
forexsales;
foreach var of local varlist1{;
by compname: generate L1log`var'_n= L1.log`var';
by compname: generate L2log`var'_n= L2.log`var';
by compname: gen D1log`var'_n= D1.log`var';
};
The two do not give me the same result. I find a something
more confusing on listing the variables (please see row 8) :
Any help appreciated.
Best,
Jibonayan
list compname nic newyear logforexsales L1logforexsales L1logforexsales_new in 1/30
+-----------------------------------------------------------------------------------------+
| compname nic newyear logfo~les L1~xsales L1logfo.. |
|-----------------------------------------------------------------------------------------|
1. | 20 Microns Ltd. 269 1997 -1.752332 . . |
2. | 20 Microns Ltd. 269 1998 -1.930396 -1.752332 -1.752332 |
3. | 20 Microns Ltd. 269 1999 -2.167871 -1.930396 -1.930396 |
4. | 20 Microns Ltd. 269 2000 -2.09666 -2.167871 -2.167871 |
5. | 20 Microns Ltd. 269 2001 -2.181683 -2.09666 -2.09666 |
|-----------------------------------------------------------------------------------------|
6. | 20 Microns Ltd. 269 2002 -1.852771 -2.181683 -2.181683 |
7. | 20 Microns Ltd. 269 2003 -1.910348 -1.852771 -1.852771 |
8. | 20 Microns Ltd. 269 2005 -1.855497 -1.910348 . |
9. | 20 Microns Ltd. 269 2006 -2.300922 -1.855497 -1.855497 |
10. | A B B Instrumentation Ltd. [Merged] 331 1990 -3.08322 . . |
|-----------------------------------------------------------------------------------------|
11. | A B B Instrumentation Ltd. [Merged] 331 1991 -3.543726 -3.08322 -3.08322 |
12. | A B B Instrumentation Ltd. [Merged] 331 1992 -2.775719 -3.543726 -3.543726 |
13. | A B B Instrumentation Ltd. [Merged] 331 1993 -3.566005 -2.775719 -2.775719 |
14. | A B B Instrumentation Ltd. [Merged] 331 1994 -3.640079 -3.566005 -3.566005 |
15. | A B B Instrumentation Ltd. [Merged] 331 1995 -2.996687 -3.640079 -3.640079 |
|-----------------------------------------------------------------------------------------|
16. | A B B Instrumentation Ltd. [Merged] 331 1996 -2.698229 -2.996687 -2.996687 |
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