Hi all,
until now I have estimated intercepts and coefficients "asking" STATA to do it for each different firm, and year. That worked fine. What about if I want to estimate again interecepts and coefficients for each different firm BUT considering one precise year and also the observations of the previous year? For example for id_firm=1 in 1998 to consider both obs belonging to 1998 and 1997 and so on for 1999 to consider 1999 and 1998, this for all the different firms.
Thanks!
Until now I have used this command, but of course now is anymore appropiated:
egen group_COMPANY = group(id_firm)
egen group_YEAR = group(Year)
codebook group_COMPANY group_YEAR
gen BetaCAPM=.
gen InterceptCAPM=.
forval c= 1/2 {
forval a= 1/4 {
capture reg Return_firm_Rf MktRF if group_COMPANY ==`c' & group_YEAR==`a'
if !_rc {
gen beta`c'`a' = _b[MktRF] if group_COMPANY ==`c' & group_YEAR==`a'
gen intercept`c'`a' = _b[_cons] if group_COMPANY ==`c' & group_YEAR==`a'
replace Beta = beta`c'`a' if group_COMPANY ==`c' & group_YEAR==`a'
replace Intercept = intercept`c'`a' if group_COMPANY ==`c' & group_YEAR==`a'
capture drop beta`c'`a' intercept`c'`a'
}
}
}
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until now I have estimated intercepts and coefficients "asking" STATA to do it for each different firm, and year. That worked fine. What about if I want to estimate again interecepts and coefficients for each different firm BUT considering one precise year and also the observations of the previous year? For example for id_firm=1 in 1998 to consider both obs belonging to 1998 and 1997 and so on for 1999 to consider 1999 and 1998, this for all the different firms.
Thanks!
Until now I have used this command, but of course now is anymore appropiated:
egen group_COMPANY = group(id_firm)
egen group_YEAR = group(Year)
codebook group_COMPANY group_YEAR
gen BetaCAPM=.
gen InterceptCAPM=.
forval c= 1/2 {
forval a= 1/4 {
capture reg Return_firm_Rf MktRF if group_COMPANY ==`c' & group_YEAR==`a'
if !_rc {
gen beta`c'`a' = _b[MktRF] if group_COMPANY ==`c' & group_YEAR==`a'
gen intercept`c'`a' = _b[_cons] if group_COMPANY ==`c' & group_YEAR==`a'
replace Beta = beta`c'`a' if group_COMPANY ==`c' & group_YEAR==`a'
replace Intercept = intercept`c'`a' if group_COMPANY ==`c' & group_YEAR==`a'
capture drop beta`c'`a' intercept`c'`a'
}
}
}
----------------------- copy starting from the next line -----------------------
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input int id_day str8 day double(MktRF SMB HML RF) int Year byte(Month Day) str12 TargetISINnumber double Priceclose byte id_firm double Priceclose_lag1 float(Return_firm Return_firm_Rf) 1 "19970102" -.75 .05 .13 .02 1997 1 2 "US0003602069" .417005849 1 . . . 2 "19970103" 1.39 -.32 -.78 .02 1997 1 3 "US0003602069" .417005849 1 .417005849 0 -.02 3 "19970106" .02 .11 .05 .02 1997 1 6 "US0003602069" .422492768 1 .417005849 .013157895 -.006842105 4 "19970107" .72 -.02 -.52 .02 1997 1 7 "US0003602069" .427979687 1 .422492768 .012987013 -.007012987 5 "19970108" -.44 .5 .53 .02 1997 1 8 "US0003602069" .460901202 1 .427979687 .07692308 .05692308 6 "19970109" .72 -.38 -.15 .02 1997 1 9 "US0003602069" .466388121 1 .460901202 .011904762 -.008095237 7 "19970110" .5 -.17 -.37 .02 1997 1 10 "US0003602069" .47187504 1 .466388121 .011764706 -.008235293 8 "19970113" -.07 .09 .27 .02 1997 1 13 "US0003602069" .669404126 1 .47187504 .4186046 .3986046 9 "19970114" 1.11 -.85 .04 .02 1997 1 14 "US0003602069" .570639583 1 .669404126 -.14754099 -.167541 10 "19970115" -.22 .04 .47 .02 1997 1 15 "US0003602069" .537718069 1 .570639583 -.05769231 -.0776923 11 "19970116" .25 -.21 -.33 .02 1997 1 16 "US0003602069" .52674423 1 .537718069 -.020408165 -.04040816 12 "19970117" .72 -.28 -.26 .02 1997 1 17 "US0003602069" .548691907 1 .52674423 .04166667 .02166667 13 "19970120" .26 .21 -.41 .02 1997 1 20 "US0003602069" .576126502 1 .548691907 .05 .03 14 "19970121" .59 -.53 -.21 .02 1997 1 21 "US0003602069" .58710034 1 .576126502 .01904762 -.0009523821 15 "19970122" .44 -.41 -.07 .02 1997 1 22 "US0003602069" .609048016 1 .58710034 .03738318 .017383177 16 "19970123" -.85 .91 .37 .02 1997 1 23 "US0003602069" .598074178 1 .609048016 -.018018018 -.03801802 17 "19970124" -.97 .35 .29 .02 1997 1 24 "US0003602069" .592587259 1 .598074178 -.0091743115 -.02917431 18 "19970127" -.72 .08 .34 .02 1997 1 27 "US0003602069" .58710034 1 .592587259 -.009259259 -.02925926 19 "19970128" .01 .41 -.22 .02 1997 1 28 "US0003602069" .609048016 1 .58710034 .03738318 .017383177 20 "19970129" .68 -.73 -.03 .02 1997 1 29 "US0003602069" .581613421 1 .609048016 -.04504504 -.065045044 21 "19970130" 1.21 -.67 -.42 .02 1997 1 30 "US0003602069" .570639583 1 .581613421 -.018867925 -.03886792 22 "19970131" .31 .01 -.35 .02 1997 1 31 "US0003602069" .570639583 1 .570639583 0 -.02 23 "19970203" -.02 .04 .38 .02 1997 2 3 "US0003602069" .592587259 1 .570639583 .03846154 .018461537 24 "19970204" .12 -.54 .28 .02 1997 2 4 "US0003602069" .581613421 1 .592587259 -.018518519 -.03851852 25 "19970205" -1.28 .47 .77 .02 1997 2 5 "US0003602069" .570639583 1 .581613421 -.018867925 -.03886792 26 "19970206" .24 -.23 -.09 .02 1997 2 6 "US0003602069" .559665745 1 .570639583 -.01923077 -.03923077 27 "19970207" .96 -.79 -.04 .02 1997 2 7 "US0003602069" .537718069 1 .559665745 -.03921568 -.05921568 28 "19970210" -.65 -.08 .81 .02 1997 2 10 "US0003602069" .52674423 1 .537718069 -.020408165 -.04040816 29 "19970211" .32 -.9 .45 .02 1997 2 11 "US0003602069" .52674423 1 .52674423 0 -.02 30 "19970212" 1.52 -.79 -.67 .02 1997 2 12 "US0003602069" .52674423 1 .52674423 0 -.02 31 "19970213" 1.02 -.54 .16 .02 1997 2 13 "US0003602069" .537718069 1 .52674423 .020833336 .0008333358 32 "19970214" -.22 .29 .32 .02 1997 2 14 "US0003602069" .52674423 1 .537718069 -.020408165 -.04040816 33 "19970218" .71 -.52 .27 .02 1997 2 18 "US0003602069" .515770392 1 .52674423 -.020833334 -.04083334 34 "19970219" -.32 .41 .31 .02 1997 2 19 "US0003602069" .493822716 1 .515770392 -.04255319 -.06255319 35 "19970220" -1.17 .41 .42 .02 1997 2 20 "US0003602069" .510283473 1 .493822716 .03333333 .013333332 36 "19970221" -.26 -.05 .64 .02 1997 2 21 "US0003602069" .515770392 1 .510283473 .010752688 -.009247311 37 "19970224" .85 -.78 .03 .02 1997 2 24 "US0003602069" .521257311 1 .515770392 .010638298 -.009361702 38 "19970225" .25 -.18 .17 .02 1997 2 25 "US0003602069" .504796554 1 .521257311 -.031578947 -.05157895 39 "19970226" -.75 .17 .11 .02 1997 2 26 "US0003602069" .548691907 1 .504796554 .08695652 .06695652 40 "19970227" -1.27 .61 .76 .02 1997 2 27 "US0003602069" .570639583 1 .548691907 .04 .02 41 "19970228" -.49 .04 .15 .02 1997 2 28 "US0003602069" .609048016 1 .570639583 .06730769 .04730769 42 "19970303" .39 -.47 .13 .021 1997 3 3 "US0003602069" .598074178 1 .609048016 -.018018018 -.03901802 43 "19970304" -.29 .66 .23 .021 1997 3 4 "US0003602069" .603561097 1 .598074178 .0091743115 -.011825688 44 "19970305" 1.17 -.51 -.5 .021 1997 3 5 "US0003602069" .625508774 1 .603561097 .03636364 .01536364 45 "19970306" -.31 .09 .47 .021 1997 3 6 "US0003602069" .64745645 1 .625508774 .03508772 .01408772 46 "19970307" .67 -.59 .23 .021 1997 3 7 "US0003602069" .630995693 1 .64745645 -.02542373 -.04642373 47 "19970310" .85 -.45 .03 .021 1997 3 10 "US0003602069" .636482612 1 .630995693 .008695652 -.012304348 48 "19970311" -.24 .39 .27 .021 1997 3 11 "US0003602069" .630995693 1 .636482612 -.00862069 -.02962069 49 "19970312" -.79 -.07 .77 .021 1997 3 12 "US0003602069" .64745645 1 .630995693 .026086956 .005086956 50 "19970313" -1.66 .67 .01 .021 1997 3 13 "US0003602069" .636482612 1 .64745645 -.016949153 -.03794915 51 "19970314" .31 -.42 -.11 .021 1997 3 14 "US0003602069" .663917207 1 .636482612 .04310345 .02210345 52 "19970317" -.11 -.84 .62 .021 1997 3 17 "US0003602069" .636482612 1 .663917207 -.04132231 -.06232231 53 "19970318" -.77 .3 .16 .021 1997 3 18 "US0003602069" .636482612 1 .636482612 0 -.021 54 "19970319" -.65 -.71 .8 .021 1997 3 19 "US0003602069" .620021855 1 .636482612 -.02586207 -.04686207 55 "19970320" -.2 .48 -.19 .021 1997 3 20 "US0003602069" .625508774 1 .620021855 .0088495575 -.012150442 56 "19970321" .09 -.37 .22 .021 1997 3 21 "US0003602069" .641969531 1 .625508774 .02631579 .00531579 57 "19970324" .47 -1.45 .68 .021 1997 3 24 "US0003602069" .641969531 1 .641969531 0 -.021 58 "19970325" -.08 .41 -.32 .021 1997 3 25 "US0003602069" .620021855 1 .641969531 -.034188032 -.05518803 59 "19970326" .23 .54 -.83 .021 1997 3 26 "US0003602069" .614534936 1 .620021855 -.0088495575 -.02984956 60 "19970327" -1.9 1.18 .26 .021 1997 3 27 "US0003602069" .592587259 1 .614534936 -.035714287 -.05671429 61 "19970331" -2.26 .67 1.05 .021 1997 3 31 "US0003602069" .609048016 1 .592587259 .02777778 .006777778 62 "19970401" .17 -.89 .34 .02 1997 4 1 "US0003602069" .592587259 1 .609048016 -.027027026 -.04702703 63 "19970402" -1.17 .44 .12 .02 1997 4 2 "US0003602069" .58710034 1 .592587259 -.009259259 -.02925926 64 "19970403" -.02 -.34 -.36 .02 1997 4 3 "US0003602069" .603561097 1 .58710034 .02803738 .008037383 65 "19970404" 1.15 .27 -1.44 .02 1997 4 4 "US0003602069" .598074178 1 .603561097 -.009090909 -.02909091 66 "19970407" .77 .27 -.2 .02 1997 4 7 "US0003602069" .58710034 1 .598074178 -.018348623 -.03834862 67 "19970408" .43 -.38 .18 .02 1997 4 8 "US0003602069" .581613421 1 .58710034 -.009345794 -.029345794 68 "19970409" -.58 .9 .33 .02 1997 4 9 "US0003602069" .620021855 1 .581613421 .06603774 .04603774 69 "19970410" -.42 0 .36 .02 1997 4 10 "US0003602069" .618650125 1 .620021855 -.0022123898 -.02221239 70 "19970411" -2.48 .95 .45 .02 1997 4 11 "US0003602069" .625508774 1 .618650125 .011086475 -.008913524 71 "19970414" .55 -.67 -.31 .02 1997 4 14 "US0003602069" .614534936 1 .625508774 -.01754386 -.03754386 72 "19970415" 1.19 -1.04 .24 .02 1997 4 15 "US0003602069" .609048016 1 .614534936 -.008928573 -.02892857 73 "19970416" .81 -1.02 .23 .02 1997 4 16 "US0003602069" .603561097 1 .609048016 -.009009009 -.02900901 74 "19970417" -.11 .13 .31 .02 1997 4 17 "US0003602069" .603561097 1 .603561097 0 -.02 75 "19970418" .42 -.09 -.09 .02 1997 4 18 "US0003602069" .603561097 1 .603561097 0 -.02 76 "19970421" -.99 -.1 .44 .02 1997 4 21 "US0003602069" .543204988 1 .603561097 -.1 -.12 77 "19970422" 1.4 -1.6 -.05 .02 1997 4 22 "US0003602069" .581613421 1 .543204988 .07070707 .05070707 78 "19970423" -.03 -.05 -.19 .02 1997 4 23 "US0003602069" .559665745 1 .581613421 -.03773585 -.05773585 79 "19970424" -.22 .43 -.08 .02 1997 4 24 "US0003602069" .559665745 1 .559665745 0 -.02 80 "19970425" -.95 .16 .39 .02 1997 4 25 "US0003602069" .559665745 1 .559665745 0 -.02 81 "19970428" .81 -1.12 .19 .02 1997 4 28 "US0003602069" .504796554 1 .559665745 -.09803922 -.11803922 82 "19970429" 2.41 -1.5 -.39 .02 1997 4 29 "US0003602069" .537718069 1 .504796554 .06521739 .04521739 83 "19970430" .93 -.43 -.45 .02 1997 4 30 "US0003602069" .570639583 1 .537718069 .06122449 .04122449 84 "19970501" -.1 1.02 -.26 .023 1997 5 1 "US0003602069" .592587259 1 .570639583 .03846154 .015461536 85 "19970502" 1.93 .53 -.85 .023 1997 5 2 "US0003602069" .592587259 1 .592587259 0 -.023 86 "19970505" 2.16 .14 -1.61 .023 1997 5 5 "US0003602069" .625508774 1 .592587259 .05555556 .032555558 87 "19970506" -.31 .02 .63 .023 1997 5 6 "US0003602069" .609048016 1 .625508774 -.02631579 -.04931579 88 "19970507" -1.18 1.21 -.03 .023 1997 5 7 "US0003602069" .614534936 1 .609048016 .00900901 -.01399099 89 "19970508" .41 -.55 -.07 .023 1997 5 8 "US0003602069" .614534936 1 .614534936 0 -.023 90 "19970509" .51 -.07 .12 .023 1997 5 9 "US0003602069" .636482612 1 .614534936 .035714284 .012714284 91 "19970512" 1.29 -.74 -.19 .023 1997 5 12 "US0003602069" .603561097 1 .636482612 -.05172414 -.07472414 92 "19970513" -.45 .45 0 .023 1997 5 13 "US0003602069" .603561097 1 .603561097 0 -.023 93 "19970514" .35 -.24 .43 .023 1997 5 14 "US0003602069" .614534936 1 .603561097 .01818182 -.00481818 94 "19970515" .58 -.08 -.85 .023 1997 5 15 "US0003602069" .603561097 1 .614534936 -.017857144 -.04085714 95 "19970516" -1.13 1.05 .46 .023 1997 5 16 "US0003602069" .603561097 1 .603561097 0 -.023 96 "19970519" .27 0 -.18 .023 1997 5 19 "US0003602069" .625508774 1 .603561097 .03636364 .01336364 97 "19970520" .91 -.59 -.19 .023 1997 5 20 "US0003602069" .603561097 1 .625508774 -.03508772 -.05808772 98 "19970521" -.13 .83 -.69 .023 1997 5 21 "US0003602069" .625508774 1 .603561097 .03636364 .01336364 99 "19970522" -.27 .56 .45 .023 1997 5 22 "US0003602069" .64745645 1 .625508774 .03508772 .01208772 100 "19970523" 1.26 -.09 -.49 .023 1997 5 23 "US0003602069" .636482612 1 .64745645 -.016949153 -.03994915 end
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