Problems creating Herfindahl-Hirschman Index

[Merle Sohns]

Hello everyone,

I want to create the Herfindahl-Hirschman Index for my data. I have quartlery data for different banks. I want to have the HHI for market share.

I tried the command

hhi marketshare, by(bank_id, date) however it only gives me 1 for every observation. Leaving out the date gives me results, however I want the date included.
(same with the hhi5 command). When I try the entropyetc command it says matsize too small (even after I increased the matsize)

Does anyone have a suggestion?

Thank you in advance

[Ariel Karlinsky]

hhi is a user contributed command. you should specify that.

On topic, try:

hhi marketshare, by(bank_id date)

(removing the comma between bank_id and date).

Also, make sure you have more that one bank in each date. If for example bank one was surveyed one june 1st and bank two on june 3rd - you will have just one observation in each date. Perhaps aggregate the dates per month, quarterly to overcome this issue.

[Nick Cox]

Please give an example of your data (FAQ Advice #12). Like Ariel I can't see that you should want market shares separately for each bank.

All of the commands mentioned in #1 are community-contributed! Hence you are asked to explain their provenance (FAQ Advice #12, again).

[Jorrit Gosens]

If specifying by(bank_id, date) it is expected that the HHI would be 1. You ask the program to cut up the market into a single slice for each bank, and then ask how concentrated the market share is in that slice of the market that has only one bank.
The HHI is a property of the market or an industry as a whole, not of a single firm.
So my best guess is you should instead specify by(date). If that doesn't solve it, provide an example of your data with daatex, and explain a bit better what sort of measure of market concentration you are hoping to calculate.