st: Re: st: picking the closest source from multiple — nested cond fail

[Sergiy Radyakin <serjradyakin@gmail.com>]

See if this is the reason for problems:
....cond(minmeanskvdiff==meanmmskvdiff & .....
Are your diffs doubles? try (a-b)<epsilon for conditions of that type.

Or rewrite your example based on auto.dta, and repost.

Writing huge gens like that makes it really difficult to read the code.

Best, Sergiy






On Thu, Aug 8, 2013 at 6:46 PM, László Sándor <sandorl@gmail.com> wrote:
> Hi all,
>
> Please let me ask for some help because I cannot figure out why my
> code works for some observations but not others. Maybe this is a
> -cond- or precision issue and we all learnt something.
>
> I need to use financial prices from various sources, but maddeningly,
> the sources don't line up completely (there is some ambiguity about
> the assets in question). I do have some reference prices for a few
> years for a part of the panel. I want to price at least those assets
> right.
>
> I think have some code that calculates the average distance from each
> source, and fills a variable about which came closest. This could be
> subject to rounding errors, but this seems to fill in impressively
> many values. And manual checks verify that the indicated source is
> indeed the closest to the reference.
>
> The next round of -cond-s should pick the value from the right source
> but produces many missing values. The conditions are all the
> source-indicator being equal to a single-digit integer value, which
> seems to be true for the variable, e.g. the label apply to it, I can
> tab it etc.
>
> What is going on? I do have further details, but would confuse you
> more only if necessary.
>
> * Code to generate the closest source for an asset, with panel id isin
>
> foreach v in bb ds ms fs mm {
> gen fakerawpriceornav_`v'=cond(mi(rawpriceornav_`v'),2*rawpriceornav_skv,rawpriceornav_`v')
> // I need this to punish a source missing when "SKV" reference still
> has value, otherwise a missing difference would benefit the source by
> the logic of -egen mean-
> gen `v'skvdiff = abs(fakerawpriceornav_`v'-rawpriceornav_skv)
> bys isin: egen mean`v'skvdiff = mean(`v'skvdiff)
> }
> egen minmeanskvdiff = rowmin(mean*skvdiff)
>
> g byte closest = cond(minmeanskvdiff==meanbbskvdiff & !mi(minmeanskvdiff),1, ///
> cond(minmeanskvdiff==meanmmskvdiff & !mi(minmeanskvdiff),2, ///
> cond(minmeanskvdiff==meanmsskvdiff & !mi(minmeanskvdiff),3, ///
>   cond(minmeanskvdiff==meanfsskvdiff & !mi(minmeanskvdiff),4, ///
>   cond(minmeanskvdiff==meandsskvdiff & !mi(minmeanskvdiff),5, ///     )
> .)))))
>
> * So far not many missing values generated, though vast majority of
> "closest" is simply the first value, I think this is still correct
> (There are many ties, and I break the tie in favor of Bloomberg.)
>
> la def closest 1 "Bloomberg" 3 "Morningstar" 5 "Datastream" 2
> "MoneyMate" 4 "FactSet"
> la val closest closest
> * This verifies that labels are picked up by the integer values.
>
> g rawpriceornav_pick = ///
> cond(closest==1,rawpriceornav_bb, ///
> cond(closest==2,rawpriceornav_mm, ///
> cond(closest==3,rawpriceornav_ms, ///
> cond(closest==4,rawpriceornav_fs, ///
> cond(closest==5,rawpriceornav_ds, ///
> .)))))
> * But here I get back a ton of missing values. Yes, it can happen that
> in my panel a source is the closest for an ISIN but has missing values
> for a few years, so closest will always have less missing than this
> variable. But only 20% or so of this variable gets filled here, which
> is not reasonable.
>
> Thanks!
>
> Laszlo
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