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  • #1

    Measuring Earnings Persistence Coefficient per Decile

    Dear Statalisters,

    I am writing my thesis about Accrual Duration,for which I have to use Stata for the first time. I have to measure the persistence of ROA (ROA t pooled on ROA t+1) for Discretionary Accruals (PosDurWCA) and Non-Discretionary Accruals (ZerDurWCA). Both types of accruals have been distributed over 10 deciles (20 deciles in total). Now I would like to calculate the coefficient for each ROA persistence per decile, according to the attached table.

    Click image for larger version Name: Table Earnings Persistence.JPG Views: 1 Size: 55.3 KB ID: 1518695

    However, I stuck at this point:
    Code:
    eststo model1: quietly reg roa_lead roa if PosDurWCA_10 == 1
eststo model2: quietly reg roa_lead roa if PosDurWCA_10 == 2. 
eststo model3: quietly reg roa_lead roa if PosDurWCA_10 == 3. 
eststo model4: quietly reg roa_lead roa if PosDurWCA_10 == 4. 
eststo model5: quietly reg roa_lead roa if PosDurWCA_10 == 5. 
eststo model6: quietly reg roa_lead roa if PosDurWCA_10 == 6. 
eststo model7: quietly reg roa_lead roa if PosDurWCA_10 == 7. 
eststo model8: quietly reg roa_lead roa if PosDurWCA_10 == 8. 
eststo model9: quietly reg roa_lead roa if PosDurWCA_10 == 9 
eststo model10: quietly reg roa_lead roa if PosDurWCA_10 == 10
 
eststo model1: quietly reg roa_lead roa if ZeroDurWCA_10 == 1
eststo model2: quietly reg roa_lead roa if ZeroDurWCA_10 == 2
eststo model3: quietly reg roa_lead roa if ZeroDurWCA_10 == 3
eststo model4: quietly reg roa_lead roa if ZeroDurWCA_10 == 4
eststo model5: quietly reg roa_lead roa if ZeroDurWCA_10 == 5
eststo model6: quietly reg roa_lead roa if ZeroDurWCA_10 == 6
eststo model7: quietly reg roa_lead roa if ZeroDurWCA_10 == 7
eststo model8: quietly reg roa_lead roa if ZeroDurWCA_10 == 8
eststo model9: quietly reg roa_lead roa if ZeroDurWCA_10 == 9
eststo model10: quietly reg roa_lead roa if ZeroDurWCA_10 == 10
esttab, beta not
    Does anyone have a solution for my issue?

    [CODE]
    Code:
    * Example generated by -dataex-. To install: ssc install dataex
clear
input long datadate double year str8 case_ticker str28 conm double(tot_ass ib cfops wcap) float(roa roa_lead) byte(ZeroDurWCA_10 PosDurWCA_10)
16709 2005 "ABC"  "AMERISOURCEBERGEN CORP"     11381.174  291.922 1526.638  1935.596   .02564955   .03660943  8  .
17074 2006 "ABC"  "AMERISOURCEBERGEN CORP"      12783.92  468.012  807.265  1751.219   .03660943   .04011092  3  4
17439 2007 "ABC"  "AMERISOURCEBERGEN CORP"     12310.064  493.768 1207.904   857.264   .04011092    .0383919  6  1
17805 2008 "ABC"  "AMERISOURCEBERGEN CORP"     12217.786  469.064  737.069   502.172    .0383919   .03771177  3  3
18170 2009 "ABC"  "AMERISOURCEBERGEN CORP"      13572.74  511.852  783.763   474.143   .03771177   .04411187  3  6
18535 2010 "ABC"  "AMERISOURCEBERGEN CORP"     14434.843  636.748 1108.624   842.006   .04411187   .04716275  4  8
18900 2011 "ABC"  "AMERISOURCEBERGEN CORP"     14982.671  706.624 1167.948   362.503   .04716275   .04585471  4  2
19266 2012 "ABC"  "AMERISOURCEBERGEN CORP"     15444.126  708.186 1305.449  -227.331   .04585471   .02608195  5  2
19631 2013 "ABC"  "AMERISOURCEBERGEN CORP"     18918.638  493.435  788.125  -476.984   .02608195  .013190952  2  4
19996 2014 "ABC"  "AMERISOURCEBERGEN CORP"     21532.183   284.03 1463.153  -449.955  .013190952 -.004863219  4  6
20361 2015 "ABC"  "AMERISOURCEBERGEN CORP"     27736.157 -134.887 3920.379 -2366.277 -.004863219   .24169606  8  1
16832 2005 "ADSK" "AUTODESK INC"                  1360.8    328.9    415.2     231.8   .24169606    .1611683 10  1
17197 2006 "ADSK" "AUTODESK INC"                  1797.5    289.7    576.6     615.5    .1611683   .16125673 10 10
17562 2007 "ADSK" "AUTODESK INC"                  2208.9    356.2    708.5     735.3   .16125673   .07584583 10  7
17928 2008 "ADSK" "AUTODESK INC"                  2420.7    183.6    593.9     587.9   .07584583  .023700556 10  1
18293 2009 "ADSK" "AUTODESK INC"                  2447.2       58    246.8     675.6  .023700556   .07605109  6  8
18658 2010 "ADSK" "AUTODESK INC"                  2787.6      212    540.8     844.5   .07605109   .08838838 10  9
19023 2011 "ADSK" "AUTODESK INC"                  3227.8    285.3    573.5     941.8   .08838838   .05742271  9  7
19389 2012 "ADSK" "AUTODESK INC"                  4308.4    247.4    559.1    1508.7   .05742271   .04979325  7 10
19754 2013 "ADSK" "AUTODESK INC"                    4595    228.8    563.5    1763.5   .04979325  .016646994  7  9
20119 2014 "ADSK" "AUTODESK INC"                  4913.8     81.8    708.1    1271.2  .016646994  .028640937  8  1
16801 2005 "AEP"  "AMERICAN ELECTRIC POWER CO"     36172     1036     1877     -1515  .028640937   .02619317  3  4
17166 2006 "AEP"  "AMERICAN ELECTRIC POWER CO"     37987      995     2732     -1868   .02619317     .028415  4  4
17531 2007 "AEP"  "AMERICAN ELECTRIC POWER CO"     40366     1147     2388     -2155     .028415  .030362086  3  5
17897 2008 "AEP"  "AMERICAN ELECTRIC POWER CO"     45155     1371     2576     -2522  .030362086  .028232813  3  5
18262 2009 "AEP"  "AMERICAN ELECTRIC POWER CO"     48348     1365     2475      -571  .028232813  .024061045  3  9
18627 2010 "AEP"  "AMERICAN ELECTRIC POWER CO"     50455     1214     2662     -1502  .024061045   .03012083  3  4
18992 2011 "AEP"  "AMERICAN ELECTRIC POWER CO"     52223     1573     3788     -2429   .03012083   .02315743  4  4
19358 2012 "AEP"  "AMERICAN ELECTRIC POWER CO"     54367     1259     3804     -2234   .02315743  .026234623  4  6
19723 2013 "AEP"  "AMERICAN ELECTRIC POWER CO"     56414     1480     4106     -1802  .026234623  .027400935  4  6
20088 2014 "AEP"  "AMERICAN ELECTRIC POWER CO"     59633     1634     4613     -3489  .027400935  .028588057  4  3
20453 2015 "AEP"  "AMERICAN ELECTRIC POWER CO"   61683.1   1763.4   4818.5   -3036.1  .028588057   .04509464  4  6
16801 2005 "ALB"  "ALBEMARLE CORP"              2547.243  114.867  168.862   451.746   .04509464   .05650127  4  8
17166 2006 "ALB"  "ALBEMARLE CORP"              2530.368  142.969  376.294   477.905   .05650127   .08114964  8  5
17531 2007 "ALB"  "ALBEMARLE CORP"               2830.45   229.69  242.542   650.521   .08114964    .0676022  5  9
17897 2008 "ALB"  "ALBEMARLE CORP"              2872.717  194.202  315.747   740.556    .0676022    .0643566  6  8
18262 2009 "ALB"  "ALBEMARLE CORP"              2771.557  178.368  358.525   678.823    .0643566    .1055122  7  3
18627 2010 "ALB"  "ALBEMARLE CORP"              3068.081   323.72  331.309   984.021    .1055122   .13617477  6 10
18992 2011 "ALB"  "ALBEMARLE CORP"              3203.824   436.28  487.359   954.442   .13617477   .09063417  8  3
19358 2012 "ALB"  "ALBEMARLE CORP"              3437.291  311.536  488.766  1022.304   .09063417   .11525646  8  6
19723 2013 "ALB"  "ALBEMARLE CORP"              3584.797  413.171  432.859  1046.552   .11525646   .03883649  7  6
20088 2014 "ALB"  "ALBEMARLE CORP"              5223.103  202.847  492.609  2208.964   .03883649  .034831565  5 10
20453 2015 "ALB"  "ALBEMARLE CORP"              9615.014  334.906  360.689   214.318  .034831565  .011308883  2  1
16801 2005 "ALL"  "ALLSTATE CORP"                 156072     1765     5605         .  .011308883   .03169072  2  .
17166 2006 "ALL"  "ALLSTATE CORP"                 157554     4993     5055         .   .03169072  .029640427  2  .
17531 2007 "ALL"  "ALLSTATE CORP"                 156408     4636     5433         .  .029640427 -.012455675  2  .
17897 2008 "ALL"  "ALLSTATE CORP"                 134798    -1679     3910         . -.012455675  .006437898  2  .
18262 2009 "ALL"  "ALLSTATE CORP"                 132652      854     4301         .  .006437898   .00709079  2  .
18627 2010 "ALL"  "ALLSTATE CORP"                 130874      928     3689         .   .00709079  .006275734  2  .
18992 2011 "ALL"  "ALLSTATE CORP"                 125563      788     1929         .  .006275734  .018165061  1  .
19358 2012 "ALL"  "ALLSTATE CORP"                 126947     2306     3054         .  .018165061  .018458549  2  .
19723 2013 "ALL"  "ALLSTATE CORP"                 123520     2280     4242         .  .018458549  .026259294  2  .
20088 2014 "ALL"  "ALLSTATE CORP"                 108533     2850     3236         .  .026259294   .02074415  2  .
20453 2015 "ALL"  "ALLSTATE CORP"                 104656     2171     3616         .   .02074415    .1361435  2  .
16801 2005 "APA"  "APACHE CORP"                19271.796  2623.73  4332.27   -24.487    .1361435   .10500381 10  3
17166 2006 "APA"  "APACHE CORP"                24308.175 2552.451 4312.906 -1321.341   .10500381    .0982152  9  2
17531 2007 "APA"  "APACHE CORP"                28634.651 2812.358 5677.433    87.235    .0982152   .02439328 10  8
17897 2008 "APA"  "APACHE CORP"                29186.485  711.954 7065.344  1835.746   .02439328 -.010090137 10  9
18262 2009 "APA"  "APACHE CORP"                28185.743 -284.398 4223.643  2193.291 -.010090137   .06982153  8  6
18627 2010 "APA"  "APACHE CORP"                    43425     3032     6726       -44   .06982153   .08806747  8  2
18992 2011 "APA"  "APACHE CORP"                    52051     4584     9953      -160   .08806747   .03294532  9  4
19358 2012 "APA"  "APACHE CORP"                    60737     2001     8504      -574   .03294532  .036212016  8  4
19723 2013 "APA"  "APACHE CORP"                    61637     2232     9835      1666  .036212016  -.08732485  9  8
20088 2014 "APA"  "APACHE CORP"                    55952    -4886     8461      2751  -.08732485  -1.1860737  8  6
20453 2015 "APA"  "APACHE CORP"                    18842   -22348     2984      1911  -1.1860737    .0609136  9  2
16801 2005 "B"    "BARNES GROUP INC"             999.908   60.908   72.432   120.808    .0609136   .05525455  4  6
17166 2006 "B"    "BARNES GROUP INC"            1336.451   73.845  114.321   166.154   .05525455  .065831676  5  8
17531 2007 "B"    "BARNES GROUP INC"            1539.335  101.337  120.318   177.047  .065831676  .067062534  5  6
17897 2008 "B"    "BARNES GROUP INC"            1447.634   97.082  111.808   288.351  .067062534   .02884711  4 10
18262 2009 "B"    "BARNES GROUP INC"             1351.99   39.001  143.483   213.392   .02884711   .03796739  6  2
18627 2010 "B"    "BARNES GROUP INC"            1403.257   53.278    65.76   167.344   .03796739  .063576244  3  3
18992 2011 "B"    "BARNES GROUP INC"            1440.365   91.573  121.024   332.316  .063576244   .05260473  5 10
19358 2012 "B"    "BARNES GROUP INC"            1868.596   98.297  136.377   418.645   .05260473  .034054678  4  9
19723 2013 "B"    "BARNES GROUP INC"            2123.673   72.321    10.09   276.878  .034054678   .05812328  1  2
20088 2014 "B"    "BARNES GROUP INC"            2073.885  120.541  186.898   323.306   .05812328     .058869  5  7
20453 2015 "B"    "BARNES GROUP INC"            2061.866   121.38  209.895   359.038     .058869   .11401293  6  7
16709 2005 "BDX"  "BECTON DICKINSON & CO"       6071.969  692.283 1226.174  1675.939   .11401293     .110717 10  .
17074 2006 "BDX"  "BECTON DICKINSON & CO"       6824.525  755.591   1076.4  1608.924     .110717   .11681326  9  3
17439 2007 "BDX"  "BECTON DICKINSON & CO"       7329.365  856.167 1240.436  1651.757   .11681326    .1425409  9  5
17805 2008 "BDX"  "BECTON DICKINSON & CO"       7912.943 1127.918 1687.099  2198.096    .1425409    .1303711 10  9
18170 2009 "BDX"  "BECTON DICKINSON & CO"       9304.624 1213.054 1716.816  2869.861    .1303711   .12189175  9  9
18535 2010 "BDX"  "BECTON DICKINSON & CO"       9650.694  1176.34 1744.268  2833.577   .12189175    .1212656  9  4
18900 2011 "BDX"  "BECTON DICKINSON & CO"      10430.428 1264.852     1716  2845.103    .1212656    .0976619  9  4
19266 2012 "BDX"  "BECTON DICKINSON & CO"      11360.909 1109.528 1760.228  3344.016    .0976619    .0764672  8  8
19631 2013 "BDX"  "BECTON DICKINSON & CO"          12149      929     1505      3743    .0764672   .09520366  7  8
19996 2014 "BDX"  "BECTON DICKINSON & CO"          12447     1185     1746      3896   .09520366    .0259135  8  6
20361 2015 "BDX"  "BECTON DICKINSON & CO"          26820      695     1730      1659    .0259135   .11891609  3  1
    Tags: deciles, panel data, persistence, table
  • #2
    To make the goal of this post clear; how do I get the attached table with the following data?

    Comment

    • #3
      This should do it:

      Code:
      * Example generated by -dataex-. To install: ssc install dataex
clear
input long datadate double year str8 case_ticker str28 conm double(tot_ass ib cfops wcap) float(roa roa_lead) byte(ZeroDurWCA_10 PosDurWCA_10)
16709 2005 "ABC"  "AMERISOURCEBERGEN CORP"     11381.174  291.922 1526.638  1935.596   .02564955   .03660943  8  .
17074 2006 "ABC"  "AMERISOURCEBERGEN CORP"      12783.92  468.012  807.265  1751.219   .03660943   .04011092  3  4
17439 2007 "ABC"  "AMERISOURCEBERGEN CORP"     12310.064  493.768 1207.904   857.264   .04011092    .0383919  6  1
17805 2008 "ABC"  "AMERISOURCEBERGEN CORP"     12217.786  469.064  737.069   502.172    .0383919   .03771177  3  3
18170 2009 "ABC"  "AMERISOURCEBERGEN CORP"      13572.74  511.852  783.763   474.143   .03771177   .04411187  3  6
18535 2010 "ABC"  "AMERISOURCEBERGEN CORP"     14434.843  636.748 1108.624   842.006   .04411187   .04716275  4  8
18900 2011 "ABC"  "AMERISOURCEBERGEN CORP"     14982.671  706.624 1167.948   362.503   .04716275   .04585471  4  2
19266 2012 "ABC"  "AMERISOURCEBERGEN CORP"     15444.126  708.186 1305.449  -227.331   .04585471   .02608195  5  2
19631 2013 "ABC"  "AMERISOURCEBERGEN CORP"     18918.638  493.435  788.125  -476.984   .02608195  .013190952  2  4
19996 2014 "ABC"  "AMERISOURCEBERGEN CORP"     21532.183   284.03 1463.153  -449.955  .013190952 -.004863219  4  6
20361 2015 "ABC"  "AMERISOURCEBERGEN CORP"     27736.157 -134.887 3920.379 -2366.277 -.004863219   .24169606  8  1
16832 2005 "ADSK" "AUTODESK INC"                  1360.8    328.9    415.2     231.8   .24169606    .1611683 10  1
17197 2006 "ADSK" "AUTODESK INC"                  1797.5    289.7    576.6     615.5    .1611683   .16125673 10 10
17562 2007 "ADSK" "AUTODESK INC"                  2208.9    356.2    708.5     735.3   .16125673   .07584583 10  7
17928 2008 "ADSK" "AUTODESK INC"                  2420.7    183.6    593.9     587.9   .07584583  .023700556 10  1
18293 2009 "ADSK" "AUTODESK INC"                  2447.2       58    246.8     675.6  .023700556   .07605109  6  8
18658 2010 "ADSK" "AUTODESK INC"                  2787.6      212    540.8     844.5   .07605109   .08838838 10  9
19023 2011 "ADSK" "AUTODESK INC"                  3227.8    285.3    573.5     941.8   .08838838   .05742271  9  7
19389 2012 "ADSK" "AUTODESK INC"                  4308.4    247.4    559.1    1508.7   .05742271   .04979325  7 10
19754 2013 "ADSK" "AUTODESK INC"                    4595    228.8    563.5    1763.5   .04979325  .016646994  7  9
20119 2014 "ADSK" "AUTODESK INC"                  4913.8     81.8    708.1    1271.2  .016646994  .028640937  8  1
16801 2005 "AEP"  "AMERICAN ELECTRIC POWER CO"     36172     1036     1877     -1515  .028640937   .02619317  3  4
17166 2006 "AEP"  "AMERICAN ELECTRIC POWER CO"     37987      995     2732     -1868   .02619317     .028415  4  4
17531 2007 "AEP"  "AMERICAN ELECTRIC POWER CO"     40366     1147     2388     -2155     .028415  .030362086  3  5
17897 2008 "AEP"  "AMERICAN ELECTRIC POWER CO"     45155     1371     2576     -2522  .030362086  .028232813  3  5
18262 2009 "AEP"  "AMERICAN ELECTRIC POWER CO"     48348     1365     2475      -571  .028232813  .024061045  3  9
18627 2010 "AEP"  "AMERICAN ELECTRIC POWER CO"     50455     1214     2662     -1502  .024061045   .03012083  3  4
18992 2011 "AEP"  "AMERICAN ELECTRIC POWER CO"     52223     1573     3788     -2429   .03012083   .02315743  4  4
19358 2012 "AEP"  "AMERICAN ELECTRIC POWER CO"     54367     1259     3804     -2234   .02315743  .026234623  4  6
19723 2013 "AEP"  "AMERICAN ELECTRIC POWER CO"     56414     1480     4106     -1802  .026234623  .027400935  4  6
20088 2014 "AEP"  "AMERICAN ELECTRIC POWER CO"     59633     1634     4613     -3489  .027400935  .028588057  4  3
20453 2015 "AEP"  "AMERICAN ELECTRIC POWER CO"   61683.1   1763.4   4818.5   -3036.1  .028588057   .04509464  4  6
16801 2005 "ALB"  "ALBEMARLE CORP"              2547.243  114.867  168.862   451.746   .04509464   .05650127  4  8
17166 2006 "ALB"  "ALBEMARLE CORP"              2530.368  142.969  376.294   477.905   .05650127   .08114964  8  5
17531 2007 "ALB"  "ALBEMARLE CORP"               2830.45   229.69  242.542   650.521   .08114964    .0676022  5  9
17897 2008 "ALB"  "ALBEMARLE CORP"              2872.717  194.202  315.747   740.556    .0676022    .0643566  6  8
18262 2009 "ALB"  "ALBEMARLE CORP"              2771.557  178.368  358.525   678.823    .0643566    .1055122  7  3
18627 2010 "ALB"  "ALBEMARLE CORP"              3068.081   323.72  331.309   984.021    .1055122   .13617477  6 10
18992 2011 "ALB"  "ALBEMARLE CORP"              3203.824   436.28  487.359   954.442   .13617477   .09063417  8  3
19358 2012 "ALB"  "ALBEMARLE CORP"              3437.291  311.536  488.766  1022.304   .09063417   .11525646  8  6
19723 2013 "ALB"  "ALBEMARLE CORP"              3584.797  413.171  432.859  1046.552   .11525646   .03883649  7  6
20088 2014 "ALB"  "ALBEMARLE CORP"              5223.103  202.847  492.609  2208.964   .03883649  .034831565  5 10
20453 2015 "ALB"  "ALBEMARLE CORP"              9615.014  334.906  360.689   214.318  .034831565  .011308883  2  1
16801 2005 "ALL"  "ALLSTATE CORP"                 156072     1765     5605         .  .011308883   .03169072  2  .
17166 2006 "ALL"  "ALLSTATE CORP"                 157554     4993     5055         .   .03169072  .029640427  2  .
17531 2007 "ALL"  "ALLSTATE CORP"                 156408     4636     5433         .  .029640427 -.012455675  2  .
17897 2008 "ALL"  "ALLSTATE CORP"                 134798    -1679     3910         . -.012455675  .006437898  2  .
18262 2009 "ALL"  "ALLSTATE CORP"                 132652      854     4301         .  .006437898   .00709079  2  .
18627 2010 "ALL"  "ALLSTATE CORP"                 130874      928     3689         .   .00709079  .006275734  2  .
18992 2011 "ALL"  "ALLSTATE CORP"                 125563      788     1929         .  .006275734  .018165061  1  .
19358 2012 "ALL"  "ALLSTATE CORP"                 126947     2306     3054         .  .018165061  .018458549  2  .
19723 2013 "ALL"  "ALLSTATE CORP"                 123520     2280     4242         .  .018458549  .026259294  2  .
20088 2014 "ALL"  "ALLSTATE CORP"                 108533     2850     3236         .  .026259294   .02074415  2  .
20453 2015 "ALL"  "ALLSTATE CORP"                 104656     2171     3616         .   .02074415    .1361435  2  .
16801 2005 "APA"  "APACHE CORP"                19271.796  2623.73  4332.27   -24.487    .1361435   .10500381 10  3
17166 2006 "APA"  "APACHE CORP"                24308.175 2552.451 4312.906 -1321.341   .10500381    .0982152  9  2
17531 2007 "APA"  "APACHE CORP"                28634.651 2812.358 5677.433    87.235    .0982152   .02439328 10  8
17897 2008 "APA"  "APACHE CORP"                29186.485  711.954 7065.344  1835.746   .02439328 -.010090137 10  9
18262 2009 "APA"  "APACHE CORP"                28185.743 -284.398 4223.643  2193.291 -.010090137   .06982153  8  6
18627 2010 "APA"  "APACHE CORP"                    43425     3032     6726       -44   .06982153   .08806747  8  2
18992 2011 "APA"  "APACHE CORP"                    52051     4584     9953      -160   .08806747   .03294532  9  4
19358 2012 "APA"  "APACHE CORP"                    60737     2001     8504      -574   .03294532  .036212016  8  4
19723 2013 "APA"  "APACHE CORP"                    61637     2232     9835      1666  .036212016  -.08732485  9  8
20088 2014 "APA"  "APACHE CORP"                    55952    -4886     8461      2751  -.08732485  -1.1860737  8  6
20453 2015 "APA"  "APACHE CORP"                    18842   -22348     2984      1911  -1.1860737    .0609136  9  2
16801 2005 "B"    "BARNES GROUP INC"             999.908   60.908   72.432   120.808    .0609136   .05525455  4  6
17166 2006 "B"    "BARNES GROUP INC"            1336.451   73.845  114.321   166.154   .05525455  .065831676  5  8
17531 2007 "B"    "BARNES GROUP INC"            1539.335  101.337  120.318   177.047  .065831676  .067062534  5  6
17897 2008 "B"    "BARNES GROUP INC"            1447.634   97.082  111.808   288.351  .067062534   .02884711  4 10
18262 2009 "B"    "BARNES GROUP INC"             1351.99   39.001  143.483   213.392   .02884711   .03796739  6  2
18627 2010 "B"    "BARNES GROUP INC"            1403.257   53.278    65.76   167.344   .03796739  .063576244  3  3
18992 2011 "B"    "BARNES GROUP INC"            1440.365   91.573  121.024   332.316  .063576244   .05260473  5 10
19358 2012 "B"    "BARNES GROUP INC"            1868.596   98.297  136.377   418.645   .05260473  .034054678  4  9
19723 2013 "B"    "BARNES GROUP INC"            2123.673   72.321    10.09   276.878  .034054678   .05812328  1  2
20088 2014 "B"    "BARNES GROUP INC"            2073.885  120.541  186.898   323.306   .05812328     .058869  5  7
20453 2015 "B"    "BARNES GROUP INC"            2061.866   121.38  209.895   359.038     .058869   .11401293  6  7
16709 2005 "BDX"  "BECTON DICKINSON & CO"       6071.969  692.283 1226.174  1675.939   .11401293     .110717 10  .
17074 2006 "BDX"  "BECTON DICKINSON & CO"       6824.525  755.591   1076.4  1608.924     .110717   .11681326  9  3
17439 2007 "BDX"  "BECTON DICKINSON & CO"       7329.365  856.167 1240.436  1651.757   .11681326    .1425409  9  5
17805 2008 "BDX"  "BECTON DICKINSON & CO"       7912.943 1127.918 1687.099  2198.096    .1425409    .1303711 10  9
18170 2009 "BDX"  "BECTON DICKINSON & CO"       9304.624 1213.054 1716.816  2869.861    .1303711   .12189175  9  9
18535 2010 "BDX"  "BECTON DICKINSON & CO"       9650.694  1176.34 1744.268  2833.577   .12189175    .1212656  9  4
18900 2011 "BDX"  "BECTON DICKINSON & CO"      10430.428 1264.852     1716  2845.103    .1212656    .0976619  9  4
19266 2012 "BDX"  "BECTON DICKINSON & CO"      11360.909 1109.528 1760.228  3344.016    .0976619    .0764672  8  8
19631 2013 "BDX"  "BECTON DICKINSON & CO"          12149      929     1505      3743    .0764672   .09520366  7  8
19996 2014 "BDX"  "BECTON DICKINSON & CO"          12447     1185     1746      3896   .09520366    .0259135  8  6
20361 2015 "BDX"  "BECTON DICKINSON & CO"          26820      695     1730      1659    .0259135   .11891609  3  1
end


capture postutil clear
tempfile results
postfile handle str32 variable byte decile float coeff using `results'
foreach v of varlist *_10 {
    rangestat (reg) roa_lead roa, interval(datadate . .) by(`v')
    drop reg_* *_cons
    forvalues i = 1/10 {
        summ b_roa if `v' == `i', meanonly
        post handle ("`v'") (`i') (`=r(mean)')
    }
    foreach n of numlist 1 10 {
        summ se_roa if `v' == `n', meanonly
        local se_`v'_`n' = r(mean)
    }
    drop b_roa se_roa
}
postclose handle

use `results', clear
reshape wide coeff, i(variable) j(decile)
gen diff_10_1 = coeff10 - coeff1
levelsof variable, local(vars)
gen se_diff = .
set tracedepth 1
set trace on
foreach v of local vars {
    replace se_diff = sqrt(`se_`v'_10'^2 + `se_`v'_1'^2) if variable == `"`v'"'
}
gen t_diff = diff_10_1/se_diff
gen pvalue = 2*normal(-abs(t_diff))

drop se_diff t_diff // OPTIONAL
      -rangestat- is written by Robert Picard, Nick Cox, and Roberto Ferrer, and is available from SSC.
      At the end of this code, the data in memory will have all the information you need for your table. You can then -list- it or export it somewhere or -save- it, or, whatever.

      Note: In your example data there is no result for decile 1 of ZeroDurWCA_10 because there are only two observations in that decile, hence no regression results. Hence also no result for the difference between the 10th and 1st decile coefficients. I presume this difficulty will not arise in the real data.
      • 1 like

      Comment

      • #4
        Thanks for your help, Clyde. Very useful!

        Comment

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