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

[Nick Cox <njcoxstata@gmail.com>]

Consider -sorting- on -x- where -x- is say 1 2 2 3 3 3. Then there are
1! 2! 3! solutions that are all equivalent, but they may well put
values of other variables in different orders, as you did not specify
those other variables. Somewhere along the way this is biting you.
Nick
njcoxstata@gmail.com


On 6 November 2013 21:30, Clarice Martins <martins.clarice@gmail.com> wrote:
> 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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