Hmmm...I guess this is a basic question.
Panel data, only six variables and permno represents frims, I want to regress ret on mkt, but need to estimate from -252 to -2 days. (250 trading days every year)
The aim is to get the standard deviation (sd) of the residual values of each observation, then
egen category= xtile(sd), nq(2) by(country year)
Anyone can help? Great thanks!
Here is the sample:
Panel data, only six variables and permno represents frims, I want to regress ret on mkt, but need to estimate from -252 to -2 days. (250 trading days every year)
The aim is to get the standard deviation (sd) of the residual values of each observation, then
egen category= xtile(sd), nq(2) by(country year)
Anyone can help? Great thanks!
Here is the sample:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double permno long date double(ret mkt) float(year country) 10560 15431 -.001123514142818749 -.00103797 2002 4 10560 15432 -.010123751126229763 -.008657960000000001 2002 4 10560 15433 -.006818229332566261 -.009497969 2002 4 10560 15434 -.03546904772520065 .0009252949 2002 4 10560 15435 .021352235227823257 -.002536663 2002 4 10560 15438 -.010452869348227978 .0029621160000000003 2002 4 10560 15439 -.0023474714253097773 -.005543889000000001 2002 4 10560 15440 0 .01146895 2002 4 10560 15441 -.008235258050262928 -.02131968 2002 4 10560 15442 .023724768310785294 .008221537000000001 2002 4 10560 15445 .012746194377541542 -.0059918670000000005 2002 4 10560 15446 .0366133488714695 .021961500000000002 2002 4 10560 15447 .014348692260682583 -.00197307 2002 4 10560 15448 -.009793167002499104 -.0015112 2002 4 10560 15449 .020879073068499565 .0007277678 2002 4 10560 15452 -.02045205421745777 -.01474083 2002 4 10560 15453 -.02087917923927307 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