Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Creating ten 10%-portfolios
From
Bo Spiljard <[email protected]>
To
[email protected]
Subject
Re: st: Creating ten 10%-portfolios
Date
Fri, 1 Mar 2013 21:11:47 +0100
Thank you for your solution!
I was not informed that the -xtile()- function could do this.
After a couple tries and some fiddling I managed to do it with this function.
It is not the most tidy solution it does the work.
The code I used:
gen illiq2=illiq
sort id year month illiq2
quietly by id year month illiq2: gen dup=cond(_N==1,0,_n)
replace illiq2=. if dup>1
xtile temp = illiq2, nq(10)
by id year month: egen portfolio1=max(temp)
drop dup
drop illiq2
drop temp
sort id year month day
On Fri, Mar 1, 2013 at 6:39 PM, Nick Cox <[email protected]> wrote:
> It sounds as if you need to check out the -xtile()- function in
> -egenmore- (SSC).
>
> Alternatively, here is a solution from first principles for what I
> think you are asking, but I have just written this down, not tested
> it.
>
> gen mdate = ym(year month)
> egen group = group(mdate)
> su group, meanonly
> local max = r(max)
>
> gen portfolio = .
>
> qui forval i = 1/`max' {
> xtile temp=illiq if group == `i'
> replace portfolio = temp if group == `i'
> drop temp
> }
>
>
> Nick
>
> On Fri, Mar 1, 2013 at 4:00 PM, Bo Spiljard <[email protected]> wrote:
>
> I am testing a version of the
>> CAPM and I need to make ten 10-percentile portfolios (sub groups) and
>> these have to be revised each month. This has to be done by creating a
>> new variable that contains the numbers 1 to 10 and each number should
>> represent a portfolio.
>>
>> Normally if I am stuck I could find the answer by searching on
>> statalist, but this problem I could not find. I allready tried alot of
>> things myself (i.e. using r(p10)) etc, but I cannot find the right
>> code. The data I have is: id, date (year, month and day), and illiq. I
>> need to create 10 equal portfolios based on the proportion of illiq
>> and this have to be revised each month. So each of the portfolio at
>> each month has to contain the same amount of ids, with in portfolio 1
>> the id with the lowest value of illiq, in portfolio 2 the id with
>> slightly higher illiq, etc..
>>
>> Also the data for each firm does not start and not end at the same
>> date and also for each date there is missing information, so I cannot
>> purely use the sort function.
>>
>> Here is an simplified example with allready portfolios added how it
>> should look like.
>>
>> id year month day illiq portfolio
>>
>> 1 2001 1 1 15 3
>>
>> 2 2001 1 1 13 2
>>
>> 3 2001 1 1 12 1
>>
>> 1 2001 1 2 11 3
>>
>> 2 2001 1 2 8 2
>>
>> 3 2001 1 2 13 1
>>
>> ...
>>
>> 1 2001 2 1 10 3
>>
>> 2 2001 2 1 9 2
>>
>> 3 2001 2 1 7 1
>>
>> ...
>>
>> 1 2009 12 31 8 1
>>
>> 2 2009 12 31 11 2
>>
>> 3 2009 12 31 13 3
>>
>>
> *
> * 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/