Long short portfolio return based on a factor rank for panel data

Nick Cox

Join Date: Mar 2014

Posts: 33602
#31

01 May 2019, 09:52

A weighted mean is always obtainable one step at a time. Calculate the numerator; the denominator; and then divide.

Code:

bysort newdate: egen R3_q5 = total(cond(q_R3 == 5, w * ex_ret, .) ) bysort newdate: egen denom = total(cond(q_R3 == 5, w, .) ) replace R3_q5 = R3_q5 / denom
Comment
Attaullah Shah

Join Date: Aug 2014

Posts: 1659
#32

01 May 2019, 10:17

Thank you Nick Cox for your reference. I have replied to the query posted by Kate Lussy in post # 5 of this thread.

Regards
--------------------------------------------------
Attaullah Shah, PhD.
Professor of Finance, Institute of Management Sciences Peshawar, Pakistan
FinTechProfessor.com
https://asdocx.com
Check out my asdoc program, which sends outputs to MS Word.
For more flexibility, consider using asdocx which can send Stata outputs to MS Word, Excel, LaTeX, or HTML.
Comment

Announcement