st: Routine from do-file that every time it's run gives a different result

[Clarice Martins <martins.clarice@gmail.com>]

Dear Statalist group,

I have a routine that apparently was running ok, and then I noticed that everytime I execute the code I get different results for one of the variables.
(The routine is long, so I don't know how to best provide you guys with enough info.)

1) I believe the problem has to do with variable -P5- since this is the variable which average changes every time I run the code.

2) Sample of the results, I am getting:  as you can see variable P1 is always approximately the same (it should be the same) and variable Strategy is ALWAYS the same, but var -P5- changes by a lot. (I've shown two outputs, but I've ran it several, several times.)


. esttab .

----------------------------
                      (1)   
                     Mean   
----------------------------
P1                  0.300***
                   (3.41)   

P5                  6.154   
                   (1.53)   

strategy            7.190   
                   (1.78)   
----------------------------
N                     150   
----------------------------


----------------------------
                      (1)   
                     Mean   
----------------------------
P1                  0.223*  
                   (2.24)   

P5                  3.286   
                   (1.15)   

strategy            7.190   
                   (1.78)   
----------------------------
N                     150   
----------------------------

3) Piece of the code that deals with creating and changing variable P5: (my apologies if this is confusing or too long)

***create variable P1/P5 and sum all 1st/5th quintiles per <yrmonth>
gen P1_sell = .
quietly levelsof yrmonth, local(levs)
quietly foreach lev of local levs {
	egen work=total(return) if rtype=="buy_sell_period" & yrmonth == "`lev'" & quintile==1
	replace P1_sell=work if rtype=="buy_sell_period" & yrmonth == "`lev'" & quintile==1
	drop work
}

gen P5_buy = .
quietly levelsof yrmonth, local(levs)
quietly foreach lev of local levs {
	egen work=total(return) if rtype=="buy_sell_period" & yrmonth == "`lev'" & quintile==5
	replace P5_buy=work if rtype=="buy_sell_period" & yrmonth == "`lev'" & quintile==5
	drop work
}

sort quintile yrmonth rtype

**undo the buy/sell operation
*in order to do the procedure, first copy quintile #s to same <co_id> but for 6 <yrmonth> LATER

bysort co_id period: egen tocopy2 = total(quintile / (rtype == "buy_sell_period"))
bysort co_id rtype (negperiod) : replace quintile = tocopy2[_n+6] if missing(quintile) & rtype == "hold_period"
sort quintile yrmonth rtype

*add sums of 1st/5th quintiles for <hold_period> to variables P1/P5

quietly levelsof yrmonth, local(levs)
quietly foreach lev of local levs {
	egen work=total(return) if rtype=="hold_period" & yrmonth == "`lev'" & quintile==5
	replace P1_sell=work if rtype=="hold_period" & yrmonth == "`lev'" & quintile==5
	drop work
}

quietly levelsof yrmonth, local(levs)
quietly foreach lev of local levs {
	egen work=total(return) if rtype=="hold_period" & yrmonth == "`lev'" & quintile==1
	replace P5_buy=work if rtype=="hold_period" & yrmonth == "`lev'" & quintile==1
	drop work
}
sort quintile yrmonth rtype


***------procedures for Strategy analysis
**preparing time-series
*P1 is the variable to use for the time-series / keep -P1_sell- intact just for the sake of it

gen P1 = P1_sell
gen copyP1=P1
replace P1 = . if P1 == copyP1[_n-1]
drop copyP1

*P5 is the variable to use for the time-series / keep -P5_buy- intact just for the sake of it

gen P5 = P5_buy
gen copyP5=P5
replace P5 = . if P5 == copyP5[_n-1]
drop copyP5

*keeping only time-series variables & unique records
keep P1 P5 period

sort period P1 P5
quietly by period P1 P5:  gen dup = cond(_N==1,0,_n)
drop if dup>0
drop dup

sort period P1 P5
gen P5copy = P5
replace P5 = P5copy[_n+1] if P5 >= .
replace P5 = P5copy[_n+3] if P5 >= .
drop P5copy

sort period
quietly by period: gen dup = cond(_N==1,0,_n)
drop if dup>2
drop dup

gen temp = P1 + P5
drop if temp >= .
drop temp

by period: egen strategy=total(P1 + P5)

sort strategy
quietly by strategy: gen dup = cond(_N==1,0,_n)
drop if dup>1
drop dup

sort period

** changing into a time-series // not sure if it is necessary yet...
tsset period
mean P1 P5 strategy
******end of code

Thanks for your consideration! Any comment or suggestions will be appreciated.
Clarice


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