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  • #46
    I am appending new data example as suggested it has more stock_id's. And It contains data on rt instead of ert.

    P.S. I forgot to mention in #44. Apart from generating of average beta, rt and corresponding t-stat of average rt. For each variant and both equal and value weight deciles, i want to form a portfolio which is called HL and equals decile 10 minus decile 1. For this HL also, we need average and corresponding t-stat value.

    Moreover, in another file, i have data on three factors, market, size and value. This data is to be merged in main file. In separate regressions of deciles and HL first on market factor and then on market, size and value factor, i want to generate mean rt of each decile and HL and their corresponding t-stat (newey-west adjusted)

    Code:
    * Example generated by -dataex-. For more info, type help dataex
clear
input float stock_id str54 stock int date float(mdate rt) double(beta mcap)
1 "3M India Ltd."         17136 563  .001986755  .9363791897476034  1704.41
1 "3M India Ltd."         17167 564   .12273628  .9223737930509442   1913.6
1 "3M India Ltd."         17198 565  .022899864   .922756816668508  1957.42
1 "3M India Ltd."         17226 566  -.09570672  .8936533493659552  1770.08
1 "3M India Ltd."         17257 567   .08442055  .9255302588321866  1919.51
1 "3M India Ltd."         17287 568   .12479826  .9350681183690134  2159.06
1 "3M India Ltd."         17318 569   .09339456  .9271015207020946  2360.71
1 "3M India Ltd."         17348 570  -.13650028   .928254346339326  2038.47
1 "3M India Ltd."         17379 571  -.04351911  .9836310240772113  1949.76
1 "3M India Ltd."         17410 572   .04327479  .9891430041241998  2034.13
1 "3M India Ltd."         17440 573    .2355596  .9751046493064751  2513.29
1 "3M India Ltd."         17471 574   -.1149907  .9956336356126323  2224.29
1 "3M India Ltd."         17501 575   .16502912 1.0016201663302253  2591.36
1 "3M India Ltd."         17532 576   -.1716478 1.0163532769060692  2146.56
1 "3M India Ltd."         17563 577  .018472841  .9914501373606369  2186.21
1 "3M India Ltd."         17592 578  -.06211676  .9814122102459226  2050.41
1 "3M India Ltd."         17623 579  .023679366  .9226485941803548  2098.96
1 "3M India Ltd."         17653 580 -.006896552  .9157756854647555  2084.49
1 "3M India Ltd."         17684 581  -.09614138  .9080926389855237  1884.08
1 "3M India Ltd."         17714 582  -.04035874  .8762961854634894  1808.04
1 "3M India Ltd."         17745 583  .012305296  .8605383835206916  1830.29
1 "3M India Ltd."         17776 584  -.11377135  .8680215325174288  1622.06
1 "3M India Ltd."         17806 585   -.3538787  .8790495453705364  1048.05
1 "3M India Ltd."         17837 586  -.01537056  .9539156687231287  1031.94
1 "3M India Ltd."         17867 587  .010861852   .933792486219891  1043.15
1 "3M India Ltd."         17898 588  .021058315  .9699855719761739  1065.11
1 "3M India Ltd."         17929 589  -.05462718  .9422987555783494  1006.93
1 "3M India Ltd."         17957 590 -.016613526  .9449352765119065    990.2
1 "3M India Ltd."         17988 591    .1656428   .923992991288802  1154.22
1 "3M India Ltd."         18018 592   .21149717  .9315873561349993  1398.33
1 "3M India Ltd."         18049 593  .035205025  .8966264545990463  1447.56
1 "3M India Ltd."         18079 594   .12953307  .8952355982767113  1635.07
1 "3M India Ltd."         18110 595   .07578629  .9026652138700382  1758.98
1 "3M India Ltd."         18141 596    .1142848  .9015792779073551  1960.01
1 "3M India Ltd."         18171 597 -.031409852  .8997408733078569  1898.45
1 "3M India Ltd."         18202 598   .06058448  .8956781585590297  2013.46
1 "3M India Ltd."         18232 599  .036534533  .8934226024323634  2087.02
2 "3P Land Holdings Ltd." 17136 563   .27454546  .6063615825199706    12.62
2 "3P Land Holdings Ltd." 17167 564  -.13552068  .5882292970802359    10.91
2 "3P Land Holdings Ltd." 17198 565  -.06105611  .5856696529156193    10.24
2 "3P Land Holdings Ltd." 17226 566   .13884006  .5735485544392244    11.66
2 "3P Land Holdings Ltd." 17257 567   .12654321  .5503792292363405    13.14
2 "3P Land Holdings Ltd." 17287 568  .006849315 .48935011341041157    13.23
2 "3P Land Holdings Ltd." 17318 569  -.05034013  .8768593708147372    12.56
2 "3P Land Holdings Ltd." 17348 570  .031518623  .8939266963061522    12.96
2 "3P Land Holdings Ltd." 17379 571   .08194444  .8576006798129209    14.02
2 "3P Land Holdings Ltd." 17410 572   .07830552  .8595353596032033    15.12
2 "3P Land Holdings Ltd." 17440 573  -.08809524  .8098852261235144    13.79
2 "3P Land Holdings Ltd." 17471 574   2.1840732  .6522657484280153     43.9
2 "3P Land Holdings Ltd." 17501 575    1.496925  .6172125043576382   109.62
2 "3P Land Holdings Ltd." 17532 576   -.3904762  .7591263309826475    66.82
2 "3P Land Holdings Ltd." 17563 577   .05414871  .9427380079566117    70.43
2 "3P Land Holdings Ltd." 17592 578  -.27804753  .9497029550792229    50.85
2 "3P Land Holdings Ltd." 17623 579   .01238938  .9893970561286551    51.48
2 "3P Land Holdings Ltd." 17653 580  -.01923077  .9545370561011615    50.49
2 "3P Land Holdings Ltd." 17684 581    -.315508 1.0104470351402894    34.56
2 "3P Land Holdings Ltd." 17714 582  .036458332 1.0851988356528055    35.82
2 "3P Land Holdings Ltd." 17745 583  -.09045226 1.0786019882311453    32.58
2 "3P Land Holdings Ltd." 17776 584   -.1160221 1.1083191649820048     28.8
2 "3P Land Holdings Ltd." 17806 585    -.503125  1.114426134944222    14.31
2 "3P Land Holdings Ltd." 17837 586   .12201258 1.2837179550512692    16.06
2 "3P Land Holdings Ltd." 17867 587  .036995515  1.225022704005749    16.65
2 "3P Land Holdings Ltd." 17898 588  -.02702703  1.212781001580348     16.2
2 "3P Land Holdings Ltd." 17929 589  -.22222222 1.1640822093216887     12.6
2 "3P Land Holdings Ltd." 17957 590         .25 1.1842704014702627    15.75
2 "3P Land Holdings Ltd." 17988 591         .08 1.1992254625286194    17.01
2 "3P Land Holdings Ltd." 18018 592   .24232805  1.159497689882982    21.13
2 "3P Land Holdings Ltd." 18049 593   .26064736  1.243023955320111    26.64
2 "3P Land Holdings Ltd." 18079 594  -.02702703 1.2535683448509727    25.92
2 "3P Land Holdings Ltd." 18110 595 -.007638889  1.231016487071214    25.72
2 "3P Land Holdings Ltd." 18141 596 .0020993701 1.2431189335636115    25.78
2 "3P Land Holdings Ltd." 18171 597  -.04539106 1.2032554684323835    24.61
2 "3P Land Holdings Ltd." 18202 598   -.0380395 1.2059037350629862    23.67
2 "3P Land Holdings Ltd." 18232 599   .25931558 1.1872302182477175    29.81
3 "A B B India Ltd."      17136 563    .0601711  .9734345282698555 15729.96
3 "A B B India Ltd."      17167 564  -.02442409  .9734801551860071 15345.77
3 "A B B India Ltd."      17198 565 .0006490189  .9728723476125267 15355.73
3 "A B B India Ltd."      17226 566 -.019927137  .9396168938512286 15049.73
3 "A B B India Ltd."      17257 567    .1519713  .9472120474840884 17336.86
3 "A B B India Ltd."      17287 568    .1233667  .9599181874858322 19475.65
3 "A B B India Ltd."      17318 569   .19176115  .9538972886219685 23210.32
3 "A B B India Ltd."      17348 570   .04756688  .9647019885975509 24314.37
3 "A B B India Ltd."      17379 571  -.02021963  1.023748820401256 23822.74
3 "A B B India Ltd."      17410 572     .150596 1.0316329634040111 27410.35
3 "A B B India Ltd."      17440 573    .2177812  1.037518473143562 33379.81
3 "A B B India Ltd."      17471 574 -.011173184 1.0001829782265959 33006.85
3 "A B B India Ltd."      17501 575 -.029051105 1.0057413960255452 32047.96
3 "A B B India Ltd."      17532 576   -.2591662  .9952697221596232 23742.21
3 "A B B India Ltd."      17563 577  .031952873 1.0753426531536359 24500.85
3 "A B B India Ltd."      17592 578   .01539526 1.0773899752741936 24878.04
3 "A B B India Ltd."      17623 579 -.027597956  .9862432031727675 24191.46
3 "A B B India Ltd."      17653 580  -.10301331  .9467215833168263 21699.42
3 "A B B India Ltd."      17684 581  -.20751953  .9650938492657422 17196.36
3 "A B B India Ltd."      17714 582  -.05101664  .9919978566503982 16319.06
3 "A B B India Ltd."      17745 583   .14076094  .9712649643249686 18616.15
3 "A B B India Ltd."      17776 584  -.10654525  .9386155416763365 16632.69
3 "A B B India Ltd."      17806 585   -.3175564  .9432118136991003 11350.87
3 "A B B India Ltd."      17837 586  -.18248856  .9885692418759537  9279.47
3 "A B B India Ltd."      17867 587   .03551039 1.0184319251409255  9608.99
3 "A B B India Ltd."      17898 588   .05811004  .9828476122532387 10167.36
3 "A B B India Ltd."      17929 589   -.2337432  .9855806780386467  7790.81
3 "A B B India Ltd."      17957 590    .1625187 1.0038699646088194  9056.96
3 "A B B India Ltd."      17988 591   .14026673 1.0135641319093294 10327.35
3 "A B B India Ltd."      18018 592   .33312815 1.0075055663584047 13767.69
3 "A B B India Ltd."      18049 593    .1960905 1.0146331818136416  16467.4
3 "A B B India Ltd."      18079 594  -.10050187  1.010268694383803  14812.4
3 "A B B India Ltd."      18110 595   .08226037  .9883592039039567 16030.87
3 "A B B India Ltd."      18141 596  .036814276  .9889228991336497 16621.03
3 "A B B India Ltd."      18171 597 -.021036526   .998786106294578 16271.38
3 "A B B India Ltd."      18202 598  -.03802826   .994814282280712 15652.61
3 "A B B India Ltd."      18232 599   .03871929  .9640555666543652 16258.67
4 "A B C India Ltd."      17136 563  .015457788   2.12531571368011    21.36
4 "A B C India Ltd."      17167 564  -.05737705  2.106540172549027    20.13
4 "A B C India Ltd."      17198 565  -.06459627 2.1026474776643314    18.83
4 "A B C India Ltd."      17226 566   -.1633466   2.13264423218623    15.76
4 "A B C India Ltd."      17257 567   .04126984 2.2826001317577425    16.41
4 "A B C India Ltd."      17287 568   .19359756 2.2161258088594167    19.58
4 "A B C India Ltd."      17318 569  .021711366 2.3289804436944563    20.01
4 "A B C India Ltd."      17348 570     -.02625 2.3468817749872364    19.48
4 "A B C India Ltd."      17379 571    -.042362 2.4391863125261577    18.66
4 "A B C India Ltd."      17410 572   .17962466 2.4379933103240177    23.77
4 "A B C India Ltd."      17440 573        .025 2.4094645503384355    24.36
4 "A B C India Ltd."      17471 574    .0864745 2.1843323023291314    26.47
4 "A B C India Ltd."      17501 575    .4989796  2.201784105856848    39.68
4 "A B C India Ltd."      17532 576  -.11708646  2.239462491606524    35.03
4 "A B C India Ltd."      17563 577  -.15805705  1.966281290930492     29.5
4 "A B C India Ltd."      17592 578   -.3058608 1.9911506307444555    20.47
4 "A B C India Ltd."      17623 579    .0778364 1.9887081778953244    22.07
4 "A B C India Ltd."      17653 580    .2399021 1.9498583944372503    27.36
4 "A B C India Ltd."      17684 581  -.20039487  1.855595292344104    21.88
4 "A B C India Ltd."      17714 582 -.037037037 1.7782357082267635    21.07
4 "A B C India Ltd."      17745 583  .026923077 1.7652526074879313    21.64
4 "A B C India Ltd."      17776 584  -.16354556 1.7464917969148455     18.1
4 "A B C India Ltd."      17806 585   -.3686567   1.73308280506418    11.43
4 "A B C India Ltd."      17837 586   .15839243 1.7062580999479549    13.24
4 "A B C India Ltd."      17867 587    .2489796 1.6819352303559978    16.53
4 "A B C India Ltd."      17898 588  -.18137255  1.339620359636421    13.53
4 "A B C India Ltd."      17929 589  -.02994012 1.3959657970527226    13.13
4 "A B C India Ltd."      17957 590  -.01234568 1.3924411958949219    12.97
4 "A B C India Ltd."      17988 591        .125  1.360837225337932    14.59
4 "A B C India Ltd."      18018 592   .39074075  1.337596528441335    20.29
4 "A B C India Ltd."      18049 593  -.06790946  1.318452598544504    18.91
4 "A B C India Ltd."      18079 594   .05714286 1.3276898836335498    19.99
4 "A B C India Ltd."      18110 595   .15945946 1.3240496957688517    23.18
4 "A B C India Ltd."      18141 596   .07575758 1.3275163932025096    24.93
4 "A B C India Ltd."      18171 597  -.01516793 1.2214557582880001    24.55
4 "A B C India Ltd."      18202 598   .04070407 1.2078684868000416    25.55
4 "A B C India Ltd."      18232 599  -.04862579 1.1923712046544934    24.31
5 "A C C Ltd."            17136 563   -.0415839  .9711099075288797 20329.98
5 "A C C Ltd."            17167 564  -.06015384  .9533818755311491 19109.39
5 "A C C Ltd."            17198 565  -.11781426  .9523902803166918 16859.48
5 "A C C Ltd."            17226 566  -.18376757  .9802770047439185 13765.13
5 "A C C Ltd."            17257 567   .14183626  .9824767111906931 15717.92
5 "A C C Ltd."            17287 568  .019967813  .9952344940871638 16032.26
5 "A C C Ltd."            17318 569   .09139785 1.0224756100645327 17498.05
5 "A C C Ltd."            17348 570   .13509317 1.0278634459236917 19863.05
5 "A C C Ltd."            17379 571  .005613472 1.0073959448450303 19978.03
5 "A C C Ltd."            17410 572    .1210245 1.0042391040607614 22409.05
5 "A C C Ltd."            17440 573   -.0982509 1.0121883760540995 20208.85
5 "A C C Ltd."            17471 574  .011090487  .8241913020640157 20434.25
5 "A C C Ltd."            17501 575  -.05961724  .8150590284559912 19222.12
5 "A C C Ltd."            17532 576  -.23606637   .804711217381253 14684.86
5 "A C C Ltd."            17563 577   .01284099  .8364281862130032 14873.79
5 "A C C Ltd."            17592 578   .04213448  .8366475578684974 15500.53
5 "A C C Ltd."            17623 579   -.0816487  .7422599123501417 14235.28
5 "A C C Ltd."            17653 580  -.12917683  .6882965015245578  12396.6
5 "A C C Ltd."            17684 581  -.20911224  .7062767619309206  9804.72
5 "A C C Ltd."            17714 582   .11827751  .7427678610804371 10964.48
5 "A C C Ltd."            17745 583  -.03876434  .7420291439720214 10539.54
5 "A C C Ltd."            17776 584   .08902341  .7477072268416667  11477.8
5 "A C C Ltd."            17806 585   -.1933295  .6882701570835166  9258.83
5 "A C C Ltd."            17837 586  -.17663154  .6972659898494115  7623.52
5 "A C C Ltd."            17867 587   .17636923  .7179109719736483  8969.31
5 "A C C Ltd."            17898 588   .05639255  .7560042136590477  9475.17
5 "A C C Ltd."            17929 589  .069228485  .7655877723743578 10131.12
5 "A C C Ltd."            17957 590   .06826603  .7588711787418411 10822.84
5 "A C C Ltd."            17988 591   .13240267  .7555921716690642 12255.82
5 "A C C Ltd."            18018 592   .19908117  .7594557251580196 14696.14
5 "A C C Ltd."            18049 593 -.018007662   .735764126647085 14431.87
5 "A C C Ltd."            18079 594   .14618286  .7387278539919047 16542.13
5 "A C C Ltd."            18110 595   -.0823783  .7502929416085707 15179.54
5 "A C C Ltd."            18141 596  .013107456  .7589422988668725 15378.51
5 "A C C Ltd."            18171 597   -.0874527  .7647615071289715  14034.1
5 "A C C Ltd."            18202 598   .06547181  .7702599729533258 14953.59
5 "A C C Ltd."            18232 599    .0940246  .7643412933830858 16361.57
end
format %td date
format %tm mdate
    Last edited by Sartaj Hussain; 20 Jan 2023, 13:09.

    Comment

    • #47
      Well, here is a part of what you want. The four variants are really all the same except for the time periods to be split into deciles, and the corresponding dates for the lagged mcap to be used as a weight and the lagged beta to be used for deciles. So this code does it all. To use it, you have to set the "parameters" of your run in the two bold-faced commands. The parameter variant, which must be 1, 2, 3, or 4, is which variant, as you defined them in #44, you wish to use. The second parameter nq is the number of groups to sort into. You have asked for deciles, so I imagine you will typically, or always, set this to 10. (In developing the code, I did not have enough stock id's to do deciles, so I developed it with terciles, hence you see it as nq = 3 here. It dawned on me that someday you will decide you want to use more or fewer quantiles than 10, so why not just leave it as a user-specifiable parameter instead of "hardwiring" 10 into the code.)

      Code:
      * Example generated by -dataex-. For more info, type help dataex
clear
input float stock_id str54 stock int date float(mdate rt) double(beta mcap)
1 "3M India Ltd."         17136 563  .001986755  .9363791897476034  1704.41
1 "3M India Ltd."         17167 564   .12273628  .9223737930509442   1913.6
1 "3M India Ltd."         17198 565  .022899864   .922756816668508  1957.42
1 "3M India Ltd."         17226 566  -.09570672  .8936533493659552  1770.08
1 "3M India Ltd."         17257 567   .08442055  .9255302588321866  1919.51
1 "3M India Ltd."         17287 568   .12479826  .9350681183690134  2159.06
1 "3M India Ltd."         17318 569   .09339456  .9271015207020946  2360.71
1 "3M India Ltd."         17348 570  -.13650028   .928254346339326  2038.47
1 "3M India Ltd."         17379 571  -.04351911  .9836310240772113  1949.76
1 "3M India Ltd."         17410 572   .04327479  .9891430041241998  2034.13
1 "3M India Ltd."         17440 573    .2355596  .9751046493064751  2513.29
1 "3M India Ltd."         17471 574   -.1149907  .9956336356126323  2224.29
1 "3M India Ltd."         17501 575   .16502912 1.0016201663302253  2591.36
1 "3M India Ltd."         17532 576   -.1716478 1.0163532769060692  2146.56
1 "3M India Ltd."         17563 577  .018472841  .9914501373606369  2186.21
1 "3M India Ltd."         17592 578  -.06211676  .9814122102459226  2050.41
1 "3M India Ltd."         17623 579  .023679366  .9226485941803548  2098.96
1 "3M India Ltd."         17653 580 -.006896552  .9157756854647555  2084.49
1 "3M India Ltd."         17684 581  -.09614138  .9080926389855237  1884.08
1 "3M India Ltd."         17714 582  -.04035874  .8762961854634894  1808.04
1 "3M India Ltd."         17745 583  .012305296  .8605383835206916  1830.29
1 "3M India Ltd."         17776 584  -.11377135  .8680215325174288  1622.06
1 "3M India Ltd."         17806 585   -.3538787  .8790495453705364  1048.05
1 "3M India Ltd."         17837 586  -.01537056  .9539156687231287  1031.94
1 "3M India Ltd."         17867 587  .010861852   .933792486219891  1043.15
1 "3M India Ltd."         17898 588  .021058315  .9699855719761739  1065.11
1 "3M India Ltd."         17929 589  -.05462718  .9422987555783494  1006.93
1 "3M India Ltd."         17957 590 -.016613526  .9449352765119065    990.2
1 "3M India Ltd."         17988 591    .1656428   .923992991288802  1154.22
1 "3M India Ltd."         18018 592   .21149717  .9315873561349993  1398.33
1 "3M India Ltd."         18049 593  .035205025  .8966264545990463  1447.56
1 "3M India Ltd."         18079 594   .12953307  .8952355982767113  1635.07
1 "3M India Ltd."         18110 595   .07578629  .9026652138700382  1758.98
1 "3M India Ltd."         18141 596    .1142848  .9015792779073551  1960.01
1 "3M India Ltd."         18171 597 -.031409852  .8997408733078569  1898.45
1 "3M India Ltd."         18202 598   .06058448  .8956781585590297  2013.46
1 "3M India Ltd."         18232 599  .036534533  .8934226024323634  2087.02
2 "3P Land Holdings Ltd." 17136 563   .27454546  .6063615825199706    12.62
2 "3P Land Holdings Ltd." 17167 564  -.13552068  .5882292970802359    10.91
2 "3P Land Holdings Ltd." 17198 565  -.06105611  .5856696529156193    10.24
2 "3P Land Holdings Ltd." 17226 566   .13884006  .5735485544392244    11.66
2 "3P Land Holdings Ltd." 17257 567   .12654321  .5503792292363405    13.14
2 "3P Land Holdings Ltd." 17287 568  .006849315 .48935011341041157    13.23
2 "3P Land Holdings Ltd." 17318 569  -.05034013  .8768593708147372    12.56
2 "3P Land Holdings Ltd." 17348 570  .031518623  .8939266963061522    12.96
2 "3P Land Holdings Ltd." 17379 571   .08194444  .8576006798129209    14.02
2 "3P Land Holdings Ltd." 17410 572   .07830552  .8595353596032033    15.12
2 "3P Land Holdings Ltd." 17440 573  -.08809524  .8098852261235144    13.79
2 "3P Land Holdings Ltd." 17471 574   2.1840732  .6522657484280153     43.9
2 "3P Land Holdings Ltd." 17501 575    1.496925  .6172125043576382   109.62
2 "3P Land Holdings Ltd." 17532 576   -.3904762  .7591263309826475    66.82
2 "3P Land Holdings Ltd." 17563 577   .05414871  .9427380079566117    70.43
2 "3P Land Holdings Ltd." 17592 578  -.27804753  .9497029550792229    50.85
2 "3P Land Holdings Ltd." 17623 579   .01238938  .9893970561286551    51.48
2 "3P Land Holdings Ltd." 17653 580  -.01923077  .9545370561011615    50.49
2 "3P Land Holdings Ltd." 17684 581    -.315508 1.0104470351402894    34.56
2 "3P Land Holdings Ltd." 17714 582  .036458332 1.0851988356528055    35.82
2 "3P Land Holdings Ltd." 17745 583  -.09045226 1.0786019882311453    32.58
2 "3P Land Holdings Ltd." 17776 584   -.1160221 1.1083191649820048     28.8
2 "3P Land Holdings Ltd." 17806 585    -.503125  1.114426134944222    14.31
2 "3P Land Holdings Ltd." 17837 586   .12201258 1.2837179550512692    16.06
2 "3P Land Holdings Ltd." 17867 587  .036995515  1.225022704005749    16.65
2 "3P Land Holdings Ltd." 17898 588  -.02702703  1.212781001580348     16.2
2 "3P Land Holdings Ltd." 17929 589  -.22222222 1.1640822093216887     12.6
2 "3P Land Holdings Ltd." 17957 590         .25 1.1842704014702627    15.75
2 "3P Land Holdings Ltd." 17988 591         .08 1.1992254625286194    17.01
2 "3P Land Holdings Ltd." 18018 592   .24232805  1.159497689882982    21.13
2 "3P Land Holdings Ltd." 18049 593   .26064736  1.243023955320111    26.64
2 "3P Land Holdings Ltd." 18079 594  -.02702703 1.2535683448509727    25.92
2 "3P Land Holdings Ltd." 18110 595 -.007638889  1.231016487071214    25.72
2 "3P Land Holdings Ltd." 18141 596 .0020993701 1.2431189335636115    25.78
2 "3P Land Holdings Ltd." 18171 597  -.04539106 1.2032554684323835    24.61
2 "3P Land Holdings Ltd." 18202 598   -.0380395 1.2059037350629862    23.67
2 "3P Land Holdings Ltd." 18232 599   .25931558 1.1872302182477175    29.81
3 "A B B India Ltd."      17136 563    .0601711  .9734345282698555 15729.96
3 "A B B India Ltd."      17167 564  -.02442409  .9734801551860071 15345.77
3 "A B B India Ltd."      17198 565 .0006490189  .9728723476125267 15355.73
3 "A B B India Ltd."      17226 566 -.019927137  .9396168938512286 15049.73
3 "A B B India Ltd."      17257 567    .1519713  .9472120474840884 17336.86
3 "A B B India Ltd."      17287 568    .1233667  .9599181874858322 19475.65
3 "A B B India Ltd."      17318 569   .19176115  .9538972886219685 23210.32
3 "A B B India Ltd."      17348 570   .04756688  .9647019885975509 24314.37
3 "A B B India Ltd."      17379 571  -.02021963  1.023748820401256 23822.74
3 "A B B India Ltd."      17410 572     .150596 1.0316329634040111 27410.35
3 "A B B India Ltd."      17440 573    .2177812  1.037518473143562 33379.81
3 "A B B India Ltd."      17471 574 -.011173184 1.0001829782265959 33006.85
3 "A B B India Ltd."      17501 575 -.029051105 1.0057413960255452 32047.96
3 "A B B India Ltd."      17532 576   -.2591662  .9952697221596232 23742.21
3 "A B B India Ltd."      17563 577  .031952873 1.0753426531536359 24500.85
3 "A B B India Ltd."      17592 578   .01539526 1.0773899752741936 24878.04
3 "A B B India Ltd."      17623 579 -.027597956  .9862432031727675 24191.46
3 "A B B India Ltd."      17653 580  -.10301331  .9467215833168263 21699.42
3 "A B B India Ltd."      17684 581  -.20751953  .9650938492657422 17196.36
3 "A B B India Ltd."      17714 582  -.05101664  .9919978566503982 16319.06
3 "A B B India Ltd."      17745 583   .14076094  .9712649643249686 18616.15
3 "A B B India Ltd."      17776 584  -.10654525  .9386155416763365 16632.69
3 "A B B India Ltd."      17806 585   -.3175564  .9432118136991003 11350.87
3 "A B B India Ltd."      17837 586  -.18248856  .9885692418759537  9279.47
3 "A B B India Ltd."      17867 587   .03551039 1.0184319251409255  9608.99
3 "A B B India Ltd."      17898 588   .05811004  .9828476122532387 10167.36
3 "A B B India Ltd."      17929 589   -.2337432  .9855806780386467  7790.81
3 "A B B India Ltd."      17957 590    .1625187 1.0038699646088194  9056.96
3 "A B B India Ltd."      17988 591   .14026673 1.0135641319093294 10327.35
3 "A B B India Ltd."      18018 592   .33312815 1.0075055663584047 13767.69
3 "A B B India Ltd."      18049 593    .1960905 1.0146331818136416  16467.4
3 "A B B India Ltd."      18079 594  -.10050187  1.010268694383803  14812.4
3 "A B B India Ltd."      18110 595   .08226037  .9883592039039567 16030.87
3 "A B B India Ltd."      18141 596  .036814276  .9889228991336497 16621.03
3 "A B B India Ltd."      18171 597 -.021036526   .998786106294578 16271.38
3 "A B B India Ltd."      18202 598  -.03802826   .994814282280712 15652.61
3 "A B B India Ltd."      18232 599   .03871929  .9640555666543652 16258.67
4 "A B C India Ltd."      17136 563  .015457788   2.12531571368011    21.36
4 "A B C India Ltd."      17167 564  -.05737705  2.106540172549027    20.13
4 "A B C India Ltd."      17198 565  -.06459627 2.1026474776643314    18.83
4 "A B C India Ltd."      17226 566   -.1633466   2.13264423218623    15.76
4 "A B C India Ltd."      17257 567   .04126984 2.2826001317577425    16.41
4 "A B C India Ltd."      17287 568   .19359756 2.2161258088594167    19.58
4 "A B C India Ltd."      17318 569  .021711366 2.3289804436944563    20.01
4 "A B C India Ltd."      17348 570     -.02625 2.3468817749872364    19.48
4 "A B C India Ltd."      17379 571    -.042362 2.4391863125261577    18.66
4 "A B C India Ltd."      17410 572   .17962466 2.4379933103240177    23.77
4 "A B C India Ltd."      17440 573        .025 2.4094645503384355    24.36
4 "A B C India Ltd."      17471 574    .0864745 2.1843323023291314    26.47
4 "A B C India Ltd."      17501 575    .4989796  2.201784105856848    39.68
4 "A B C India Ltd."      17532 576  -.11708646  2.239462491606524    35.03
4 "A B C India Ltd."      17563 577  -.15805705  1.966281290930492     29.5
4 "A B C India Ltd."      17592 578   -.3058608 1.9911506307444555    20.47
4 "A B C India Ltd."      17623 579    .0778364 1.9887081778953244    22.07
4 "A B C India Ltd."      17653 580    .2399021 1.9498583944372503    27.36
4 "A B C India Ltd."      17684 581  -.20039487  1.855595292344104    21.88
4 "A B C India Ltd."      17714 582 -.037037037 1.7782357082267635    21.07
4 "A B C India Ltd."      17745 583  .026923077 1.7652526074879313    21.64
4 "A B C India Ltd."      17776 584  -.16354556 1.7464917969148455     18.1
4 "A B C India Ltd."      17806 585   -.3686567   1.73308280506418    11.43
4 "A B C India Ltd."      17837 586   .15839243 1.7062580999479549    13.24
4 "A B C India Ltd."      17867 587    .2489796 1.6819352303559978    16.53
4 "A B C India Ltd."      17898 588  -.18137255  1.339620359636421    13.53
4 "A B C India Ltd."      17929 589  -.02994012 1.3959657970527226    13.13
4 "A B C India Ltd."      17957 590  -.01234568 1.3924411958949219    12.97
4 "A B C India Ltd."      17988 591        .125  1.360837225337932    14.59
4 "A B C India Ltd."      18018 592   .39074075  1.337596528441335    20.29
4 "A B C India Ltd."      18049 593  -.06790946  1.318452598544504    18.91
4 "A B C India Ltd."      18079 594   .05714286 1.3276898836335498    19.99
4 "A B C India Ltd."      18110 595   .15945946 1.3240496957688517    23.18
4 "A B C India Ltd."      18141 596   .07575758 1.3275163932025096    24.93
4 "A B C India Ltd."      18171 597  -.01516793 1.2214557582880001    24.55
4 "A B C India Ltd."      18202 598   .04070407 1.2078684868000416    25.55
4 "A B C India Ltd."      18232 599  -.04862579 1.1923712046544934    24.31
5 "A C C Ltd."            17136 563   -.0415839  .9711099075288797 20329.98
5 "A C C Ltd."            17167 564  -.06015384  .9533818755311491 19109.39
5 "A C C Ltd."            17198 565  -.11781426  .9523902803166918 16859.48
5 "A C C Ltd."            17226 566  -.18376757  .9802770047439185 13765.13
5 "A C C Ltd."            17257 567   .14183626  .9824767111906931 15717.92
5 "A C C Ltd."            17287 568  .019967813  .9952344940871638 16032.26
5 "A C C Ltd."            17318 569   .09139785 1.0224756100645327 17498.05
5 "A C C Ltd."            17348 570   .13509317 1.0278634459236917 19863.05
5 "A C C Ltd."            17379 571  .005613472 1.0073959448450303 19978.03
5 "A C C Ltd."            17410 572    .1210245 1.0042391040607614 22409.05
5 "A C C Ltd."            17440 573   -.0982509 1.0121883760540995 20208.85
5 "A C C Ltd."            17471 574  .011090487  .8241913020640157 20434.25
5 "A C C Ltd."            17501 575  -.05961724  .8150590284559912 19222.12
5 "A C C Ltd."            17532 576  -.23606637   .804711217381253 14684.86
5 "A C C Ltd."            17563 577   .01284099  .8364281862130032 14873.79
5 "A C C Ltd."            17592 578   .04213448  .8366475578684974 15500.53
5 "A C C Ltd."            17623 579   -.0816487  .7422599123501417 14235.28
5 "A C C Ltd."            17653 580  -.12917683  .6882965015245578  12396.6
5 "A C C Ltd."            17684 581  -.20911224  .7062767619309206  9804.72
5 "A C C Ltd."            17714 582   .11827751  .7427678610804371 10964.48
5 "A C C Ltd."            17745 583  -.03876434  .7420291439720214 10539.54
5 "A C C Ltd."            17776 584   .08902341  .7477072268416667  11477.8
5 "A C C Ltd."            17806 585   -.1933295  .6882701570835166  9258.83
5 "A C C Ltd."            17837 586  -.17663154  .6972659898494115  7623.52
5 "A C C Ltd."            17867 587   .17636923  .7179109719736483  8969.31
5 "A C C Ltd."            17898 588   .05639255  .7560042136590477  9475.17
5 "A C C Ltd."            17929 589  .069228485  .7655877723743578 10131.12
5 "A C C Ltd."            17957 590   .06826603  .7588711787418411 10822.84
5 "A C C Ltd."            17988 591   .13240267  .7555921716690642 12255.82
5 "A C C Ltd."            18018 592   .19908117  .7594557251580196 14696.14
5 "A C C Ltd."            18049 593 -.018007662   .735764126647085 14431.87
5 "A C C Ltd."            18079 594   .14618286  .7387278539919047 16542.13
5 "A C C Ltd."            18110 595   -.0823783  .7502929416085707 15179.54
5 "A C C Ltd."            18141 596  .013107456  .7589422988668725 15378.51
5 "A C C Ltd."            18171 597   -.0874527  .7647615071289715  14034.1
5 "A C C Ltd."            18202 598   .06547181  .7702599729533258 14953.59
5 "A C C Ltd."            18232 599    .0940246  .7643412933830858 16361.57
end
format %td date
format %tm mdate

local variant 2 // SET TO DESIRED VARIANT NUMBER: 1, 2, 3, or 4
local nq 3  // NUMBER OF QUANTILES TO GROUP DATA INTO (SET TO 10 FOR PRODUCTION)

assert inlist(`variant', 1, 2, 3, 4)

xtset stock_id mdate

if `variant' == 1 {
    gen int ref_month = mofd(dofy(yofd(date))- 1)
}
else if `variant' == 2 {
    gen int ref_month = mofd(dofh(hofd(date))- 1)
}
else if `variant' == 3 {
    gen int ref_month = mofd(dofq(qofd(date))- 1)
}
else /* `variant' == 4 */ {
    gen int ref_month = mofd(dofm(mofd(date))- 1)
}
format ref_month %tm

rangestat (max) lagged_beta = beta lagged_mcap = mcap, by(stock_id) ///
    interval(mdate ref_month ref_month)
by mdate, sort: egen beta_quantile = xtile (lagged_beta), nq(`nq')

capture program drop one_weighted_return
program define one_weighted_return
    if !missing(beta_quantile) {
        foreach v of varlist beta rt {
            egen numerator = total(lagged_mcap*`v')
            egen denominator = total(lagged_mcap)
            gen vw_mean_`v' = numerator/denominator
            egen ew_mean_`v' = mean(`v')
            drop numerator denominator
        }
    }
    keep in 1
    exit
end



runby one_weighted_return, by(mdate beta_quantile)
keep mdate beta_quantile *_mean_rt

drop if missing(beta_quantile, vw_mean_rt, ew_mean_rt) // THIS COMMAND SHOULD PREVENT THE RESHAPE ERROR

gen str32 group = "beta_group" + string(beta_quantile) + "_"
drop *_quantile
reshape wide ew_mean_@rt vw_mean_@rt, i(mdate) j(group) string
      What you don't have here is the Newey-adjusted mean rt. I cannot figure out how to do that. You are grouping the data by quantiles (deciles) of the preceding period's beta. Each such group contains multiple different stock_id's. As a result, this group is panel data, not a single time series. Stata's -newey- command accepts only a single time series, not panel data. So there doesn't seem to be any way to apply it to the deciles, only to single stocks. Perhaps I am missing something here or misunderstanding your request?

      Comment

      • #48
        I used the #47 and it worked. I produce output here as example (only three deciles from each equal and value)

        Code:
        * Example generated by -dataex-. For more info, type help dataex
clear
input float(mdate vw_mean_beta_group10_rt ew_mean_beta_group10_rt vw_mean_beta_group1_rt ew_mean_beta_group1_rt vw_mean_beta_group2_rt ew_mean_beta_group2_rt)
564  -.069573894   .14122373    .011305213    .06751904   .013397406    .05426269
565   -.18366148  -.15820535    -.08376976   -.07038874   -.05485694   -.07824679
566   -.04306811  -.07018959   -.006865805   -.03049617  -.001967761   -.04801307
567    .08066323   .06978887     .03750523    .05594177     .0559518    .04856485
568   .016455859   .04192624    .003465172    .03972684    .05820238    .04680517
569    .02976301   .07487746    .008144066    .06093329  -.006526623    .03848907
570    .08313441   .03802537    .017770346    .02732088    .06022498   .030787153
571   -.05387822   .05800821   -.020365957    .02609168    .00553042   -.01085015
572    .14826597   .15642917     .05387788    .08216332     .1491609     .0901516
573     .1065947   .03785477     .05302673    .00782487    .10664212    .01980347
574   -.05659011   .10446577    -.04898866    .08624668    .01820308     .0822244
575    .13082106    .3583659     .14002377    .27490294     .0945476     .2644893
576   -.26518956  -.28594333    -.15908194   -.21132804   -.12538438    -.2183809
577  -.022576695   -.0466231   .0018446773  -.034738913    .01717831  -.005884993
578   -.21755964   -.2080427    -.07682955   -.10343826   -.12415984   -.13666625
579     .2134448   .20630588     .13711767    .12664269     .0973355    .11137694
580   -.06698665  -.06868593    .011145898  -.005924954   -.07556514  -.032523446
581   -.30191785  -.21035466    -.12309827   -.11762534   -.16102608    -.1210906
582    .19565023   .04825027  -.0023254862    .01224084    .10265373    .05017467
583   -.05204588 -.009266408     .04538925    .03058959    .02553801   .014173233
584    -.2985733  -.21147685    -.08949219   -.09478215     -.091689   -.13222922
585    -.3620828   -.3534486     -.1468863    -.2076658    -.2451624   -.26307017
586   -.11780066  -.14359318   -.023477394  -.067555815   -.14164913   -.08742792
587    .29546005   .19973522    .002707344    .05913784     .0827656     .0755463
588   -.04564368 -.073872924     .03889788   -.04084891   -.02520113   -.04043449
589   -.07589833  -.05916571   -.020072967  -.017283585   -.07794324  -.035309695
590    .11970158   .04095529     .04224483    .04834683     .1114108     .0440054
591    .29435834    .3382188     .08608633    .10148216     .1920039    .15812127
592     .5250233    .6393412      .0638709    .22348784     .2015679     .3205671
593   .001325985 -.068133205     .07194705   .006636021    .03922732   .010904074
594    .06783437   .04609631     .15643603    .07394677    .18422267    .10062657
595    .06784743    .1582158    -.01681382    .06047933    .06182555    .10083406
596    .06980382    .0739469    .063544676    .07028879    .07728733    .11633317
597    -.0881592   -.1110167    .027035056   .012811056   -.04156655   -.02416465
598    .07273566    .0965229     .05130851    .05908256    .07897895    .09035255
599    .04627455   .08767387     .02586628     .0773951    .05170223    .11181684
600   -.05282854 .0009396328   -.033892967  -.008386236   -.04851804 -.0004687917
601   -.03095399  -.03882915      .0167184   .007368569   .028842693  .0042834003
602    .03621834   .03867541     .05823719    .04984041   .028647456     .0478367
603   .071462326   .12398878    .020922985   .067787945   .016201278    .12667292
604   -.11632793  -.11029593    .015369397  -.005298583   .008477892     -.029979
605    .04406929  .070680745     .07389385     .0758053     .0276949    .05412912
606    .00654698  .007583237   -.007041297    .02712537   .014650074    .04287446
607  .0010683016  .005729464    .006410234    .02281931    .03986061    .04437478
608    .09655342   .06097738      .0876658    .04343266    .06657151    .07207655
609  -.025622377   .01513679  .00011145943    .04001379  -.019979756   .030138636
610   -.11805701  -.11240812    .011627587   -.01095349  -.020607786   -.06184707
611    .08080666   .02268876     .04627566   .014694327    .08255655   .028567586
612   -.13842699  -.15050384    -.08320683   -.06116068    -.0751317   -.08068152
613   -.06725133  -.08433064    -.02130498   -.03305938   -.04942308   -.06486986
614    .07047717   .04040394     .06142813     .0456071     .0824912    .01999825
615   -.01218973   .05792754    .013406713    .07737502   .004711271    .07665985
616   -.04974694  -.06886097    .017082285     .0192753   -.02549763   -.02879855
617    -.0241563  -.02955193    .029151734  -.000640304  -.021396637  -.002779445
618   -.08135109  .008711488 -.00028309086    .05189978  -.003840788    .03964788
619    -.1544876    -.155136    -.05066141    -.0543033   -.09817446   -.09832785
620   -.05697385 -.019510165  .00007127011   .006270954   .003881647     .0202191
621    .06374928   .04693407     .06867337    .04547181    .04138917    .01932142
622   -.15257813  -.14656593    -.04014155   -.05485608   -.09334685   -.09265784
623    -.1011168  -.10543916  -.0017058988  -.036610257    -.0404849   -.05647845
624     .3240523   .27771795     .02532167    .08671316    .05046269     .1155114
625    .06109158   .08361781    .031578925    .04560729     .0583095    .03345582
626   -.06799864  -.05787953     .04750871   .017639888    .02080993   -.03571866
627   -.05027087 -.007139353    .009108265    .03901171   -.04403985    .04343025
628   -.11368205  -.10553768   -.027890746  -.024095396  -.017534604   -.05280221
629    .05974374   .07308992     .05570702     .0244732    .04150975    .01650549
630   -.08012232 -.015000622   -.008861238  .0006804575   -.03698075 .00015016733
631  -.072832696  -.03965755     .03854504    .02002731    .02533807   .010792623
632     .1653256   .13074672     .02896969    .03736216    .07323179    .05706522
633  -.026731355   .00409735    .005458168   .015502807   -.04814835   .002638001
634    .03619187    .0451788    .032085676   .017463773    .05357154    .02642022
635     .0751393  .015040932    -.00234316    .02279772   .002041388   .009311268
636   -.01581534  -.04287848     .02023725  -.016824523     .0786187  -.003095927
637    -.1647812   -.1336552   -.019143935   -.04268749  -.063991785  -.073294446
638    -.1123465  -.12585041     .02982613  -.011932785   -.02275182   -.05065421
639    .07568238   .10157068    .036909796    .04349817   .013925192    .04012588
640   -.01258915  -.04997497     .04557867    .01194489   -.01325538   .030025985
641   -.07157328  -.08731563    -.02074406  -.019477174   -.02796742   -.04218195
642    -.0695378  -.11596739     .06472216   -.01944186 -.0010940465   -.02441672
643    .03124093 -.009565897    -.04223926   -.04299325 -.0045282138   -.04765318
644    .08652658   .08889922     .05551625    .05980924    .06238613    .04132406
645    .15808083   .13793524    .017648827   .004821346    .05034951     .0493017
646     .0772111   .07840928   -.021397445    .03119091   -.01194463    .05300012
647    .08188674    .1368832    .023907466    .04918174    .02677846    .04496229
648   -.09485254  -.07161066    .006733114   .012785043    .03203123  -.009124842
649  -.005156547 -.004271527    .021860605   .007761074    .03968621     .0275657
650    .13156423   .11171634   -.005731414    .03018948     .0974186     .0553532
651   .067124456   .11191143   -.010879216    .04109732  -.016633723    .05990125
652     .2545461   .28876662    .001772805     .0887676    .03351086    .13600926
653    .13426457    .2016679     .05529561    .12980682    .09944734    .17648974
654   -.00701943 -.032589182     .06146507    .06596106    .05393412     .0149946
655    .03566252  .019841567     .08743196    .04405018    .05547304    .04891517
656   -.07855821   .04384519     .04594529     .0915662    .04230145     .0825342
657    .09936514   .06278654    -.01943981   .024423316   .014783466   .022805197
658 -.0006577618 -.001832496     .04711094    .05191277    .05336958    .06162035
659   -.04643425  -.02176831   -.011570204 -.0009548378   -.03794467  -.009414295
660    .05531574    .0604055      .0804444    .05656355    .06557648     .0464213
661   -.02454317 -.016333882     .05712884   .006222455   .006838163  .0037435736
662   -.05888023 -.070271954   -.024752794   -.03906148 .00030744675   -.04393643
663   .015231222   .04645855   -.031853292    .05073597   -.06678462   .034384582
end
format %tm mdate

        To this master file i need to merge the data with identical dates on three factors stored in file with path:

        F:\capm analysis\three_factors.dta

        Code:
        * Example generated by -dataex-. For more info, type help dataex
clear
input float(mdate mkt smb hml)
564   .021803737   .04399709  .072298646
565    -.0991017 -.019725926 -.000827774
566   .002659279 -.064214155  .002599798
567    .06511803 -.004996456  .016848855
568    .04578332 -.009145819 -.011191372
569    .03390178   .03675858  .000446789
570    .05944144 -.029051905  .016899977
571  -.031314977   .03441129  .005402759
572    .10770207  -.06490261   .05404924
573    .19564106  -.09692977 -.032733485
574   .023987835  .024902545   .09831972
575    .05867732   .17845206    .0937691
576   -.21697918  -.03870283  -.08182178
577  -.028289244  -.04034214  -.04070015
578    -.1596253  -.02819276 -.023015693
579    .12008452  .018959537   .06865603
580   -.05787259  .009433594  .007432908
581   -.19442552  .029585496 -.017319694
582    .08167857  -.05795717   .04369532
583 -.0000719003 -.005783826  .001155436
584   -.12718858 -.063438416   .02035834
585    -.2773926 -.034869432   .03978702
586   -.06653973  -.05663194   .07532565
587     .0901688 -.001884267  .009347156
588     -.032834 -.036119737 -.032164626
589  -.032820407  .031403445 -.035724014
590    .09558018  -.06232757  -.04821395
591    .14537624   .01911813  .015153348
592    .28930518  .025454223  .070421904
593   .001683506  -.03529109  -.02989407
594    .08083248 -.008897305 -.005554177
595  -.001332164   .13476999   .01707539
596    .07384575  -.02198379  .036971144
597  -.063943215  .017554883  -.06236476
598    .08238584  .004665203  .010610282
599    .03529656   .06363067   .04867551
600   -.04318671   .04936986  -.02046956
601  -.003158171  -.02284504 -.011644302
602    .03177518 -.000429325   .01339338
603  -.002458231   .09658906   .03821263
604  -.068133175 -.011172697  -.05076417
605    .05323226   .03393526  .004146196
606   .005644242  .031354874   .01986552
607  -.028362824  -.03530572   .05678064
608    .06849256 -.005093642  -.02092934
609   .008361499 -.024705026   .06822301
610   -.03839488  -.01180371 -.025858864
611    .03937607  .006632332  -.04180221
612   -.10637768 -.009712823  -.02563453
613  -.037093982 -.009943247  -.02886152
614    .08453696  -.05943348   -.0074284
615   -.00348674   .07051414  .027565483
616   -.01943655  .014745433 -.032545507
617   .015971716 -.027295437  .006102431
618  -.015793769   .06368937  .000810227
619   -.05434243  -.02775958 -.015986428
620     .0095064   .02908015 -.008255027
621   .036252044 -.009366483  -.02179006
622   -.07893877  .002036288 -.007940106
623  -.014555086 -.005494244 -.019088976
624     .1020441  -.03160517   .06440236
625   .017407924 -.018247422  .017904282
626   .009622243 -.009295825 -.017271157
627   .031928144   .05399472  .006140044
628   -.04337325  .016277004  .000314001
629    .04960612 -.019866075  .016575832
630   -.02981535  .006179434 -.013222422
631    .01543813  .025300436  -.03786676
632    .05679867 -.003372051  .003108777
633   -.02610923  .012322052   .03742694
634    .04059115  .011688767 -.010168407
635   .011730497 -.015263245 -.013710858
636  -.003551266  -.02825102  -.04102948
637   -.07207951  -.02279439  -.00753469
638   .008698813  -.03141981  -.04381149
639    .04102334 -.005035065  .009335224
640      .024391 -.004842995 -.018317465
641   -.02173945  .008523695  -.03316228
642   .012792258  .008784737  -.06000709
643  -.013028658 -.032037266   .11906247
644   .035708282 -.003448542 -.001925677
645    .07014629  -.03081769   .01191572
646  -.035876833   .03827762   .04722738
647   .029131206  .029440496   .05191265
648   -.02258812   .04016587 -.067260146
649    .02337539  .035185497  -.04848253
650    .05009727 -.073216006   .07447709
651   -.02047215   .06257552    .0559341
652     .0568037 -.005452737   .11683814
653     .0469456   .12678832   .04554099
654    .01367812   .06178192  -.10974798
655    .05965604    .0532283  -.06482315
656    .06280217   .14160505  -.04324669
657    .04514932  -.03819802   .03687756
658    .03492325  .016013049 -.000920691
659   .033727612   .01983876   .00619358
660    .11956312  .009259675 -.019288965
661    .06672647  -.02250382   -.0302188
662   .002894478  .019146595  -.04443426
663    -.0535466   .06424672    .0266164
end
format %tm mdate
        Next for both equal and value, we generate HL which is decile 10 minus decile 1. Following this, there is code that was used in past:


        Code:
        gen time = _n
tsset time
foreach v of varlist ew_* {
    newey `v', lag(5)
}
foreach v of varlist ew_* {
    newey `v' mkt, lag(5)
}
foreach v of varlist ew_* {
    newey `v' mkt smb hml, lag(5)
}
        But the above code would require change as it doesn't calculate for HL portfolio and should work for both value and equal type deciles and their HL. Further, the output should appear in data editor.
        Last edited by Sartaj Hussain; 20 Jan 2023, 20:12.

        Comment

        • #49

          Code:
          * Example generated by -dataex-. For more info, type help dataex
clear
input float(mdate vw_mean_beta_group10_rt ew_mean_beta_group10_rt vw_mean_beta_group1_rt ew_mean_beta_group1_rt vw_mean_beta_group2_rt ew_mean_beta_group2_rt)
564  -.069573894   .14122373    .011305213    .06751904   .013397406    .05426269
565   -.18366148  -.15820535    -.08376976   -.07038874   -.05485694   -.07824679
566   -.04306811  -.07018959   -.006865805   -.03049617  -.001967761   -.04801307
567    .08066323   .06978887     .03750523    .05594177     .0559518    .04856485
568   .016455859   .04192624    .003465172    .03972684    .05820238    .04680517
569    .02976301   .07487746    .008144066    .06093329  -.006526623    .03848907
570    .08313441   .03802537    .017770346    .02732088    .06022498   .030787153
571   -.05387822   .05800821   -.020365957    .02609168    .00553042   -.01085015
572    .14826597   .15642917     .05387788    .08216332     .1491609     .0901516
573     .1065947   .03785477     .05302673    .00782487    .10664212    .01980347
574   -.05659011   .10446577    -.04898866    .08624668    .01820308     .0822244
575    .13082106    .3583659     .14002377    .27490294     .0945476     .2644893
576   -.26518956  -.28594333    -.15908194   -.21132804   -.12538438    -.2183809
577  -.022576695   -.0466231   .0018446773  -.034738913    .01717831  -.005884993
578   -.21755964   -.2080427    -.07682955   -.10343826   -.12415984   -.13666625
579     .2134448   .20630588     .13711767    .12664269     .0973355    .11137694
580   -.06698665  -.06868593    .011145898  -.005924954   -.07556514  -.032523446
581   -.30191785  -.21035466    -.12309827   -.11762534   -.16102608    -.1210906
582    .19565023   .04825027  -.0023254862    .01224084    .10265373    .05017467
583   -.05204588 -.009266408     .04538925    .03058959    .02553801   .014173233
584    -.2985733  -.21147685    -.08949219   -.09478215     -.091689   -.13222922
585    -.3620828   -.3534486     -.1468863    -.2076658    -.2451624   -.26307017
586   -.11780066  -.14359318   -.023477394  -.067555815   -.14164913   -.08742792
587    .29546005   .19973522    .002707344    .05913784     .0827656     .0755463
588   -.04564368 -.073872924     .03889788   -.04084891   -.02520113   -.04043449
589   -.07589833  -.05916571   -.020072967  -.017283585   -.07794324  -.035309695
590    .11970158   .04095529     .04224483    .04834683     .1114108     .0440054
591    .29435834    .3382188     .08608633    .10148216     .1920039    .15812127
592     .5250233    .6393412      .0638709    .22348784     .2015679     .3205671
593   .001325985 -.068133205     .07194705   .006636021    .03922732   .010904074
594    .06783437   .04609631     .15643603    .07394677    .18422267    .10062657
595    .06784743    .1582158    -.01681382    .06047933    .06182555    .10083406
596    .06980382    .0739469    .063544676    .07028879    .07728733    .11633317
597    -.0881592   -.1110167    .027035056   .012811056   -.04156655   -.02416465
598    .07273566    .0965229     .05130851    .05908256    .07897895    .09035255
599    .04627455   .08767387     .02586628     .0773951    .05170223    .11181684
600   -.05282854 .0009396328   -.033892967  -.008386236   -.04851804 -.0004687917
601   -.03095399  -.03882915      .0167184   .007368569   .028842693  .0042834003
602    .03621834   .03867541     .05823719    .04984041   .028647456     .0478367
603   .071462326   .12398878    .020922985   .067787945   .016201278    .12667292
604   -.11632793  -.11029593    .015369397  -.005298583   .008477892     -.029979
605    .04406929  .070680745     .07389385     .0758053     .0276949    .05412912
606    .00654698  .007583237   -.007041297    .02712537   .014650074    .04287446
607  .0010683016  .005729464    .006410234    .02281931    .03986061    .04437478
608    .09655342   .06097738      .0876658    .04343266    .06657151    .07207655
609  -.025622377   .01513679  .00011145943    .04001379  -.019979756   .030138636
610   -.11805701  -.11240812    .011627587   -.01095349  -.020607786   -.06184707
611    .08080666   .02268876     .04627566   .014694327    .08255655   .028567586
612   -.13842699  -.15050384    -.08320683   -.06116068    -.0751317   -.08068152
613   -.06725133  -.08433064    -.02130498   -.03305938   -.04942308   -.06486986
614    .07047717   .04040394     .06142813     .0456071     .0824912    .01999825
615   -.01218973   .05792754    .013406713    .07737502   .004711271    .07665985
616   -.04974694  -.06886097    .017082285     .0192753   -.02549763   -.02879855
617    -.0241563  -.02955193    .029151734  -.000640304  -.021396637  -.002779445
618   -.08135109  .008711488 -.00028309086    .05189978  -.003840788    .03964788
619    -.1544876    -.155136    -.05066141    -.0543033   -.09817446   -.09832785
620   -.05697385 -.019510165  .00007127011   .006270954   .003881647     .0202191
621    .06374928   .04693407     .06867337    .04547181    .04138917    .01932142
622   -.15257813  -.14656593    -.04014155   -.05485608   -.09334685   -.09265784
623    -.1011168  -.10543916  -.0017058988  -.036610257    -.0404849   -.05647845
624     .3240523   .27771795     .02532167    .08671316    .05046269     .1155114
625    .06109158   .08361781    .031578925    .04560729     .0583095    .03345582
626   -.06799864  -.05787953     .04750871   .017639888    .02080993   -.03571866
627   -.05027087 -.007139353    .009108265    .03901171   -.04403985    .04343025
628   -.11368205  -.10553768   -.027890746  -.024095396  -.017534604   -.05280221
629    .05974374   .07308992     .05570702     .0244732    .04150975    .01650549
630   -.08012232 -.015000622   -.008861238  .0006804575   -.03698075 .00015016733
631  -.072832696  -.03965755     .03854504    .02002731    .02533807   .010792623
632     .1653256   .13074672     .02896969    .03736216    .07323179    .05706522
633  -.026731355   .00409735    .005458168   .015502807   -.04814835   .002638001
634    .03619187    .0451788    .032085676   .017463773    .05357154    .02642022
635     .0751393  .015040932    -.00234316    .02279772   .002041388   .009311268
636   -.01581534  -.04287848     .02023725  -.016824523     .0786187  -.003095927
637    -.1647812   -.1336552   -.019143935   -.04268749  -.063991785  -.073294446
638    -.1123465  -.12585041     .02982613  -.011932785   -.02275182   -.05065421
639    .07568238   .10157068    .036909796    .04349817   .013925192    .04012588
640   -.01258915  -.04997497     .04557867    .01194489   -.01325538   .030025985
641   -.07157328  -.08731563    -.02074406  -.019477174   -.02796742   -.04218195
642    -.0695378  -.11596739     .06472216   -.01944186 -.0010940465   -.02441672
643    .03124093 -.009565897    -.04223926   -.04299325 -.0045282138   -.04765318
644    .08652658   .08889922     .05551625    .05980924    .06238613    .04132406
645    .15808083   .13793524    .017648827   .004821346    .05034951     .0493017
646     .0772111   .07840928   -.021397445    .03119091   -.01194463    .05300012
647    .08188674    .1368832    .023907466    .04918174    .02677846    .04496229
648   -.09485254  -.07161066    .006733114   .012785043    .03203123  -.009124842
649  -.005156547 -.004271527    .021860605   .007761074    .03968621     .0275657
650    .13156423   .11171634   -.005731414    .03018948     .0974186     .0553532
651   .067124456   .11191143   -.010879216    .04109732  -.016633723    .05990125
652     .2545461   .28876662    .001772805     .0887676    .03351086    .13600926
653    .13426457    .2016679     .05529561    .12980682    .09944734    .17648974
654   -.00701943 -.032589182     .06146507    .06596106    .05393412     .0149946
655    .03566252  .019841567     .08743196    .04405018    .05547304    .04891517
656   -.07855821   .04384519     .04594529     .0915662    .04230145     .0825342
657    .09936514   .06278654    -.01943981   .024423316   .014783466   .022805197
658 -.0006577618 -.001832496     .04711094    .05191277    .05336958    .06162035
659   -.04643425  -.02176831   -.011570204 -.0009548378   -.03794467  -.009414295
660    .05531574    .0604055      .0804444    .05656355    .06557648     .0464213
661   -.02454317 -.016333882     .05712884   .006222455   .006838163  .0037435736
662   -.05888023 -.070271954   -.024752794   -.03906148 .00030744675   -.04393643
663   .015231222   .04645855   -.031853292    .05073597   -.06678462   .034384582
end
format %tm mdate
tempfile output47
save `output47'

* Example generated by -dataex-. For more info, type help dataex
clear
input float(mdate mkt smb hml)
564   .021803737   .04399709  .072298646
565    -.0991017 -.019725926 -.000827774
566   .002659279 -.064214155  .002599798
567    .06511803 -.004996456  .016848855
568    .04578332 -.009145819 -.011191372
569    .03390178   .03675858  .000446789
570    .05944144 -.029051905  .016899977
571  -.031314977   .03441129  .005402759
572    .10770207  -.06490261   .05404924
573    .19564106  -.09692977 -.032733485
574   .023987835  .024902545   .09831972
575    .05867732   .17845206    .0937691
576   -.21697918  -.03870283  -.08182178
577  -.028289244  -.04034214  -.04070015
578    -.1596253  -.02819276 -.023015693
579    .12008452  .018959537   .06865603
580   -.05787259  .009433594  .007432908
581   -.19442552  .029585496 -.017319694
582    .08167857  -.05795717   .04369532
583 -.0000719003 -.005783826  .001155436
584   -.12718858 -.063438416   .02035834
585    -.2773926 -.034869432   .03978702
586   -.06653973  -.05663194   .07532565
587     .0901688 -.001884267  .009347156
588     -.032834 -.036119737 -.032164626
589  -.032820407  .031403445 -.035724014
590    .09558018  -.06232757  -.04821395
591    .14537624   .01911813  .015153348
592    .28930518  .025454223  .070421904
593   .001683506  -.03529109  -.02989407
594    .08083248 -.008897305 -.005554177
595  -.001332164   .13476999   .01707539
596    .07384575  -.02198379  .036971144
597  -.063943215  .017554883  -.06236476
598    .08238584  .004665203  .010610282
599    .03529656   .06363067   .04867551
600   -.04318671   .04936986  -.02046956
601  -.003158171  -.02284504 -.011644302
602    .03177518 -.000429325   .01339338
603  -.002458231   .09658906   .03821263
604  -.068133175 -.011172697  -.05076417
605    .05323226   .03393526  .004146196
606   .005644242  .031354874   .01986552
607  -.028362824  -.03530572   .05678064
608    .06849256 -.005093642  -.02092934
609   .008361499 -.024705026   .06822301
610   -.03839488  -.01180371 -.025858864
611    .03937607  .006632332  -.04180221
612   -.10637768 -.009712823  -.02563453
613  -.037093982 -.009943247  -.02886152
614    .08453696  -.05943348   -.0074284
615   -.00348674   .07051414  .027565483
616   -.01943655  .014745433 -.032545507
617   .015971716 -.027295437  .006102431
618  -.015793769   .06368937  .000810227
619   -.05434243  -.02775958 -.015986428
620     .0095064   .02908015 -.008255027
621   .036252044 -.009366483  -.02179006
622   -.07893877  .002036288 -.007940106
623  -.014555086 -.005494244 -.019088976
624     .1020441  -.03160517   .06440236
625   .017407924 -.018247422  .017904282
626   .009622243 -.009295825 -.017271157
627   .031928144   .05399472  .006140044
628   -.04337325  .016277004  .000314001
629    .04960612 -.019866075  .016575832
630   -.02981535  .006179434 -.013222422
631    .01543813  .025300436  -.03786676
632    .05679867 -.003372051  .003108777
633   -.02610923  .012322052   .03742694
634    .04059115  .011688767 -.010168407
635   .011730497 -.015263245 -.013710858
636  -.003551266  -.02825102  -.04102948
637   -.07207951  -.02279439  -.00753469
638   .008698813  -.03141981  -.04381149
639    .04102334 -.005035065  .009335224
640      .024391 -.004842995 -.018317465
641   -.02173945  .008523695  -.03316228
642   .012792258  .008784737  -.06000709
643  -.013028658 -.032037266   .11906247
644   .035708282 -.003448542 -.001925677
645    .07014629  -.03081769   .01191572
646  -.035876833   .03827762   .04722738
647   .029131206  .029440496   .05191265
648   -.02258812   .04016587 -.067260146
649    .02337539  .035185497  -.04848253
650    .05009727 -.073216006   .07447709
651   -.02047215   .06257552    .0559341
652     .0568037 -.005452737   .11683814
653     .0469456   .12678832   .04554099
654    .01367812   .06178192  -.10974798
655    .05965604    .0532283  -.06482315
656    .06280217   .14160505  -.04324669
657    .04514932  -.03819802   .03687756
658    .03492325  .016013049 -.000920691
659   .033727612   .01983876   .00619358
660    .11956312  .009259675 -.019288965
661    .06672647  -.02250382   -.0302188
662   .002894478  .019146595  -.04443426
663    -.0535466   .06424672    .0266164
end
format %tm mdate
tempfile 3factors
save `3factors'

clear frames
use `output47', clear
merge 1:1 mdate using `3factors'

foreach x in vw ew {
    gen HL_`x' = `x'_mean_beta_group10_rt - `x'_mean_beta_group1_rt
}

gen time = _n
tsset time

frame create results str32 variable float(b_cons se_cons b_mkt se_mkt ///
    b_smb se_smb b_hml se_hml)
foreach v of varlist *_mean_beta_group*_rt HL_* {
    newey `v', lag(5)
    frame post results ("`v'") (_b[_cons]) (_se[_cons]) (.) (.) (.) (.) (.) (.)
    newey `v' mkt, lag(5)
    frame post results ("`v'") (_b[_cons]) (_se[_cons]) (_b[mkt]) (_se[mkt]) ////
        (.) (.) (.) (.)
    newey `v' mkt smb hml, lag(5)
    frame post results ("`v'") (_b[_cons]) (_se[_cons]) (_b[mkt]) (_se[mkt]) ////
        (_b[smb]) (_se[smb]) (_b[hml]) (_se[hml])
}

frame change results
foreach x in cons mkt smb hml {
    gen t_`x' = b_`x'/se_`x', after(se_`x')
}
browse

          Comment

          • #50
            Can you put this code in order. It is not working. I tried this one before running #49.

            Code:
            use "F:\capm analysis\all_risk_measures.dta
tempfile output47
save `output47'
use "F:\capm analysis\three_factors.dta"
tempfile 3factors
 save `3factors'
            But it has produced following error.

            use `output47', clear
            invalid file specification
            r(198);
            Last edited by Sartaj Hussain; 20 Jan 2023, 23:25.

            Comment

            • #51
              There is nothing wrong with that code. I suspect the problem is that you ran the 6 lines of code in the code block separately, and then tried to run -use `output47', clear-. That doesn't work because the tempfiles are discarded when the code is interrupted like that. You have to run the entire thing beginning to end with no breaks or interruptions. It is a completely general, inviolable rule in Stata that code containing any local macro must be run without interrupt from the point where the local macro is defined all the way through the final place where the local macro is used.

              But, in any case, there is no need for those first 6 lines of code you show. When I develop the code, I do not save your example data as file on my hard drive. I just use the -datatex- to input the data and then run the code. But when, as here, there is more than one file involved, I do save them as tempfiles, and then -use- the tempfiles in the appropriate places.

              But that is not how you should use it. Where I have -use `output47'- you should replace that with -use "F:\capm analysis\all_risk_measures.dta"-. Where I have -merge 1:1 mdate using `3factors'- you should have -use "F:\capm analysis\three_factors.dta"-. I'm sorry I didn't make that clear when I posted the code--I'll be more attentive to that going forward. I imagined that it would be apparent from reading the code that passing the data from the real files into those tempfiles was not needed for production purposes.
              Last edited by Clyde Schechter; 21 Jan 2023, 11:26.

              Comment

              • #52
                Thanks. It worked well. But just two more changes. Please add generation of adj R_squared for each regression in #49. And average value of sort variable, i.e. average beta for each decile in #47

                Comment

                • #53
                  There is a bit of confusion in the request. The sort variable is not beta, it is the "lagged_beta," the beta that prevailed in the month preceding the start of the year/half-year/quarter/month. I assume that what you want is the mean of the lagged beta, not the mean of the betas in the current months.

                  Code:
                  * Example generated by -dataex-. For more info, type help dataex
clear
input float stock_id str54 stock int date float(mdate rt) double(beta mcap)
1 "3M India Ltd."         17136 563  .001986755  .9363791897476034  1704.41
1 "3M India Ltd."         17167 564   .12273628  .9223737930509442   1913.6
1 "3M India Ltd."         17198 565  .022899864   .922756816668508  1957.42
1 "3M India Ltd."         17226 566  -.09570672  .8936533493659552  1770.08
1 "3M India Ltd."         17257 567   .08442055  .9255302588321866  1919.51
1 "3M India Ltd."         17287 568   .12479826  .9350681183690134  2159.06
1 "3M India Ltd."         17318 569   .09339456  .9271015207020946  2360.71
1 "3M India Ltd."         17348 570  -.13650028   .928254346339326  2038.47
1 "3M India Ltd."         17379 571  -.04351911  .9836310240772113  1949.76
1 "3M India Ltd."         17410 572   .04327479  .9891430041241998  2034.13
1 "3M India Ltd."         17440 573    .2355596  .9751046493064751  2513.29
1 "3M India Ltd."         17471 574   -.1149907  .9956336356126323  2224.29
1 "3M India Ltd."         17501 575   .16502912 1.0016201663302253  2591.36
1 "3M India Ltd."         17532 576   -.1716478 1.0163532769060692  2146.56
1 "3M India Ltd."         17563 577  .018472841  .9914501373606369  2186.21
1 "3M India Ltd."         17592 578  -.06211676  .9814122102459226  2050.41
1 "3M India Ltd."         17623 579  .023679366  .9226485941803548  2098.96
1 "3M India Ltd."         17653 580 -.006896552  .9157756854647555  2084.49
1 "3M India Ltd."         17684 581  -.09614138  .9080926389855237  1884.08
1 "3M India Ltd."         17714 582  -.04035874  .8762961854634894  1808.04
1 "3M India Ltd."         17745 583  .012305296  .8605383835206916  1830.29
1 "3M India Ltd."         17776 584  -.11377135  .8680215325174288  1622.06
1 "3M India Ltd."         17806 585   -.3538787  .8790495453705364  1048.05
1 "3M India Ltd."         17837 586  -.01537056  .9539156687231287  1031.94
1 "3M India Ltd."         17867 587  .010861852   .933792486219891  1043.15
1 "3M India Ltd."         17898 588  .021058315  .9699855719761739  1065.11
1 "3M India Ltd."         17929 589  -.05462718  .9422987555783494  1006.93
1 "3M India Ltd."         17957 590 -.016613526  .9449352765119065    990.2
1 "3M India Ltd."         17988 591    .1656428   .923992991288802  1154.22
1 "3M India Ltd."         18018 592   .21149717  .9315873561349993  1398.33
1 "3M India Ltd."         18049 593  .035205025  .8966264545990463  1447.56
1 "3M India Ltd."         18079 594   .12953307  .8952355982767113  1635.07
1 "3M India Ltd."         18110 595   .07578629  .9026652138700382  1758.98
1 "3M India Ltd."         18141 596    .1142848  .9015792779073551  1960.01
1 "3M India Ltd."         18171 597 -.031409852  .8997408733078569  1898.45
1 "3M India Ltd."         18202 598   .06058448  .8956781585590297  2013.46
1 "3M India Ltd."         18232 599  .036534533  .8934226024323634  2087.02
2 "3P Land Holdings Ltd." 17136 563   .27454546  .6063615825199706    12.62
2 "3P Land Holdings Ltd." 17167 564  -.13552068  .5882292970802359    10.91
2 "3P Land Holdings Ltd." 17198 565  -.06105611  .5856696529156193    10.24
2 "3P Land Holdings Ltd." 17226 566   .13884006  .5735485544392244    11.66
2 "3P Land Holdings Ltd." 17257 567   .12654321  .5503792292363405    13.14
2 "3P Land Holdings Ltd." 17287 568  .006849315 .48935011341041157    13.23
2 "3P Land Holdings Ltd." 17318 569  -.05034013  .8768593708147372    12.56
2 "3P Land Holdings Ltd." 17348 570  .031518623  .8939266963061522    12.96
2 "3P Land Holdings Ltd." 17379 571   .08194444  .8576006798129209    14.02
2 "3P Land Holdings Ltd." 17410 572   .07830552  .8595353596032033    15.12
2 "3P Land Holdings Ltd." 17440 573  -.08809524  .8098852261235144    13.79
2 "3P Land Holdings Ltd." 17471 574   2.1840732  .6522657484280153     43.9
2 "3P Land Holdings Ltd." 17501 575    1.496925  .6172125043576382   109.62
2 "3P Land Holdings Ltd." 17532 576   -.3904762  .7591263309826475    66.82
2 "3P Land Holdings Ltd." 17563 577   .05414871  .9427380079566117    70.43
2 "3P Land Holdings Ltd." 17592 578  -.27804753  .9497029550792229    50.85
2 "3P Land Holdings Ltd." 17623 579   .01238938  .9893970561286551    51.48
2 "3P Land Holdings Ltd." 17653 580  -.01923077  .9545370561011615    50.49
2 "3P Land Holdings Ltd." 17684 581    -.315508 1.0104470351402894    34.56
2 "3P Land Holdings Ltd." 17714 582  .036458332 1.0851988356528055    35.82
2 "3P Land Holdings Ltd." 17745 583  -.09045226 1.0786019882311453    32.58
2 "3P Land Holdings Ltd." 17776 584   -.1160221 1.1083191649820048     28.8
2 "3P Land Holdings Ltd." 17806 585    -.503125  1.114426134944222    14.31
2 "3P Land Holdings Ltd." 17837 586   .12201258 1.2837179550512692    16.06
2 "3P Land Holdings Ltd." 17867 587  .036995515  1.225022704005749    16.65
2 "3P Land Holdings Ltd." 17898 588  -.02702703  1.212781001580348     16.2
2 "3P Land Holdings Ltd." 17929 589  -.22222222 1.1640822093216887     12.6
2 "3P Land Holdings Ltd." 17957 590         .25 1.1842704014702627    15.75
2 "3P Land Holdings Ltd." 17988 591         .08 1.1992254625286194    17.01
2 "3P Land Holdings Ltd." 18018 592   .24232805  1.159497689882982    21.13
2 "3P Land Holdings Ltd." 18049 593   .26064736  1.243023955320111    26.64
2 "3P Land Holdings Ltd." 18079 594  -.02702703 1.2535683448509727    25.92
2 "3P Land Holdings Ltd." 18110 595 -.007638889  1.231016487071214    25.72
2 "3P Land Holdings Ltd." 18141 596 .0020993701 1.2431189335636115    25.78
2 "3P Land Holdings Ltd." 18171 597  -.04539106 1.2032554684323835    24.61
2 "3P Land Holdings Ltd." 18202 598   -.0380395 1.2059037350629862    23.67
2 "3P Land Holdings Ltd." 18232 599   .25931558 1.1872302182477175    29.81
3 "A B B India Ltd."      17136 563    .0601711  .9734345282698555 15729.96
3 "A B B India Ltd."      17167 564  -.02442409  .9734801551860071 15345.77
3 "A B B India Ltd."      17198 565 .0006490189  .9728723476125267 15355.73
3 "A B B India Ltd."      17226 566 -.019927137  .9396168938512286 15049.73
3 "A B B India Ltd."      17257 567    .1519713  .9472120474840884 17336.86
3 "A B B India Ltd."      17287 568    .1233667  .9599181874858322 19475.65
3 "A B B India Ltd."      17318 569   .19176115  .9538972886219685 23210.32
3 "A B B India Ltd."      17348 570   .04756688  .9647019885975509 24314.37
3 "A B B India Ltd."      17379 571  -.02021963  1.023748820401256 23822.74
3 "A B B India Ltd."      17410 572     .150596 1.0316329634040111 27410.35
3 "A B B India Ltd."      17440 573    .2177812  1.037518473143562 33379.81
3 "A B B India Ltd."      17471 574 -.011173184 1.0001829782265959 33006.85
3 "A B B India Ltd."      17501 575 -.029051105 1.0057413960255452 32047.96
3 "A B B India Ltd."      17532 576   -.2591662  .9952697221596232 23742.21
3 "A B B India Ltd."      17563 577  .031952873 1.0753426531536359 24500.85
3 "A B B India Ltd."      17592 578   .01539526 1.0773899752741936 24878.04
3 "A B B India Ltd."      17623 579 -.027597956  .9862432031727675 24191.46
3 "A B B India Ltd."      17653 580  -.10301331  .9467215833168263 21699.42
3 "A B B India Ltd."      17684 581  -.20751953  .9650938492657422 17196.36
3 "A B B India Ltd."      17714 582  -.05101664  .9919978566503982 16319.06
3 "A B B India Ltd."      17745 583   .14076094  .9712649643249686 18616.15
3 "A B B India Ltd."      17776 584  -.10654525  .9386155416763365 16632.69
3 "A B B India Ltd."      17806 585   -.3175564  .9432118136991003 11350.87
3 "A B B India Ltd."      17837 586  -.18248856  .9885692418759537  9279.47
3 "A B B India Ltd."      17867 587   .03551039 1.0184319251409255  9608.99
3 "A B B India Ltd."      17898 588   .05811004  .9828476122532387 10167.36
3 "A B B India Ltd."      17929 589   -.2337432  .9855806780386467  7790.81
3 "A B B India Ltd."      17957 590    .1625187 1.0038699646088194  9056.96
3 "A B B India Ltd."      17988 591   .14026673 1.0135641319093294 10327.35
3 "A B B India Ltd."      18018 592   .33312815 1.0075055663584047 13767.69
3 "A B B India Ltd."      18049 593    .1960905 1.0146331818136416  16467.4
3 "A B B India Ltd."      18079 594  -.10050187  1.010268694383803  14812.4
3 "A B B India Ltd."      18110 595   .08226037  .9883592039039567 16030.87
3 "A B B India Ltd."      18141 596  .036814276  .9889228991336497 16621.03
3 "A B B India Ltd."      18171 597 -.021036526   .998786106294578 16271.38
3 "A B B India Ltd."      18202 598  -.03802826   .994814282280712 15652.61
3 "A B B India Ltd."      18232 599   .03871929  .9640555666543652 16258.67
4 "A B C India Ltd."      17136 563  .015457788   2.12531571368011    21.36
4 "A B C India Ltd."      17167 564  -.05737705  2.106540172549027    20.13
4 "A B C India Ltd."      17198 565  -.06459627 2.1026474776643314    18.83
4 "A B C India Ltd."      17226 566   -.1633466   2.13264423218623    15.76
4 "A B C India Ltd."      17257 567   .04126984 2.2826001317577425    16.41
4 "A B C India Ltd."      17287 568   .19359756 2.2161258088594167    19.58
4 "A B C India Ltd."      17318 569  .021711366 2.3289804436944563    20.01
4 "A B C India Ltd."      17348 570     -.02625 2.3468817749872364    19.48
4 "A B C India Ltd."      17379 571    -.042362 2.4391863125261577    18.66
4 "A B C India Ltd."      17410 572   .17962466 2.4379933103240177    23.77
4 "A B C India Ltd."      17440 573        .025 2.4094645503384355    24.36
4 "A B C India Ltd."      17471 574    .0864745 2.1843323023291314    26.47
4 "A B C India Ltd."      17501 575    .4989796  2.201784105856848    39.68
4 "A B C India Ltd."      17532 576  -.11708646  2.239462491606524    35.03
4 "A B C India Ltd."      17563 577  -.15805705  1.966281290930492     29.5
4 "A B C India Ltd."      17592 578   -.3058608 1.9911506307444555    20.47
4 "A B C India Ltd."      17623 579    .0778364 1.9887081778953244    22.07
4 "A B C India Ltd."      17653 580    .2399021 1.9498583944372503    27.36
4 "A B C India Ltd."      17684 581  -.20039487  1.855595292344104    21.88
4 "A B C India Ltd."      17714 582 -.037037037 1.7782357082267635    21.07
4 "A B C India Ltd."      17745 583  .026923077 1.7652526074879313    21.64
4 "A B C India Ltd."      17776 584  -.16354556 1.7464917969148455     18.1
4 "A B C India Ltd."      17806 585   -.3686567   1.73308280506418    11.43
4 "A B C India Ltd."      17837 586   .15839243 1.7062580999479549    13.24
4 "A B C India Ltd."      17867 587    .2489796 1.6819352303559978    16.53
4 "A B C India Ltd."      17898 588  -.18137255  1.339620359636421    13.53
4 "A B C India Ltd."      17929 589  -.02994012 1.3959657970527226    13.13
4 "A B C India Ltd."      17957 590  -.01234568 1.3924411958949219    12.97
4 "A B C India Ltd."      17988 591        .125  1.360837225337932    14.59
4 "A B C India Ltd."      18018 592   .39074075  1.337596528441335    20.29
4 "A B C India Ltd."      18049 593  -.06790946  1.318452598544504    18.91
4 "A B C India Ltd."      18079 594   .05714286 1.3276898836335498    19.99
4 "A B C India Ltd."      18110 595   .15945946 1.3240496957688517    23.18
4 "A B C India Ltd."      18141 596   .07575758 1.3275163932025096    24.93
4 "A B C India Ltd."      18171 597  -.01516793 1.2214557582880001    24.55
4 "A B C India Ltd."      18202 598   .04070407 1.2078684868000416    25.55
4 "A B C India Ltd."      18232 599  -.04862579 1.1923712046544934    24.31
5 "A C C Ltd."            17136 563   -.0415839  .9711099075288797 20329.98
5 "A C C Ltd."            17167 564  -.06015384  .9533818755311491 19109.39
5 "A C C Ltd."            17198 565  -.11781426  .9523902803166918 16859.48
5 "A C C Ltd."            17226 566  -.18376757  .9802770047439185 13765.13
5 "A C C Ltd."            17257 567   .14183626  .9824767111906931 15717.92
5 "A C C Ltd."            17287 568  .019967813  .9952344940871638 16032.26
5 "A C C Ltd."            17318 569   .09139785 1.0224756100645327 17498.05
5 "A C C Ltd."            17348 570   .13509317 1.0278634459236917 19863.05
5 "A C C Ltd."            17379 571  .005613472 1.0073959448450303 19978.03
5 "A C C Ltd."            17410 572    .1210245 1.0042391040607614 22409.05
5 "A C C Ltd."            17440 573   -.0982509 1.0121883760540995 20208.85
5 "A C C Ltd."            17471 574  .011090487  .8241913020640157 20434.25
5 "A C C Ltd."            17501 575  -.05961724  .8150590284559912 19222.12
5 "A C C Ltd."            17532 576  -.23606637   .804711217381253 14684.86
5 "A C C Ltd."            17563 577   .01284099  .8364281862130032 14873.79
5 "A C C Ltd."            17592 578   .04213448  .8366475578684974 15500.53
5 "A C C Ltd."            17623 579   -.0816487  .7422599123501417 14235.28
5 "A C C Ltd."            17653 580  -.12917683  .6882965015245578  12396.6
5 "A C C Ltd."            17684 581  -.20911224  .7062767619309206  9804.72
5 "A C C Ltd."            17714 582   .11827751  .7427678610804371 10964.48
5 "A C C Ltd."            17745 583  -.03876434  .7420291439720214 10539.54
5 "A C C Ltd."            17776 584   .08902341  .7477072268416667  11477.8
5 "A C C Ltd."            17806 585   -.1933295  .6882701570835166  9258.83
5 "A C C Ltd."            17837 586  -.17663154  .6972659898494115  7623.52
5 "A C C Ltd."            17867 587   .17636923  .7179109719736483  8969.31
5 "A C C Ltd."            17898 588   .05639255  .7560042136590477  9475.17
5 "A C C Ltd."            17929 589  .069228485  .7655877723743578 10131.12
5 "A C C Ltd."            17957 590   .06826603  .7588711787418411 10822.84
5 "A C C Ltd."            17988 591   .13240267  .7555921716690642 12255.82
5 "A C C Ltd."            18018 592   .19908117  .7594557251580196 14696.14
5 "A C C Ltd."            18049 593 -.018007662   .735764126647085 14431.87
5 "A C C Ltd."            18079 594   .14618286  .7387278539919047 16542.13
5 "A C C Ltd."            18110 595   -.0823783  .7502929416085707 15179.54
5 "A C C Ltd."            18141 596  .013107456  .7589422988668725 15378.51
5 "A C C Ltd."            18171 597   -.0874527  .7647615071289715  14034.1
5 "A C C Ltd."            18202 598   .06547181  .7702599729533258 14953.59
5 "A C C Ltd."            18232 599    .0940246  .7643412933830858 16361.57
end
format %td date
format %tm mdate

local variant 2 // SET TO DESIRED VARIANT NUMBER: 1, 2, 3, or 4
local nq 3  // NUMBER OF QUANTILES TO GROUP DATA INTO (SET TO 10 FOR PRODUCTION)

assert inlist(`variant', 1, 2, 3, 4)

xtset stock_id mdate

if `variant' == 1 {
    gen int ref_month = mofd(dofy(yofd(date))- 1)
}
else if `variant' == 2 {
    gen int ref_month = mofd(dofh(hofd(date))- 1)
}
else if `variant' == 3 {
    gen int ref_month = mofd(dofq(qofd(date))- 1)
}
else /* `variant' == 4 */ {
    gen int ref_month = mofd(dofm(mofd(date))- 1)
}
format ref_month %tm

rangestat (max) lagged_beta = beta lagged_mcap = mcap, by(stock_id) ///
    interval(mdate ref_month ref_month)
by mdate, sort: egen beta_quantile = xtile (lagged_beta), nq(`nq')
by mdate beta_quantile, sort: egen mean_beta = mean(lagged_beta)

capture program drop one_weighted_return
program define one_weighted_return
    if !missing(beta_quantile) {
        foreach v of varlist beta rt {
            egen numerator = total(lagged_mcap*`v')
            egen denominator = total(lagged_mcap)
            gen vw_mean_`v' = numerator/denominator
            egen ew_mean_`v' = mean(`v')
            drop numerator denominator
        }
    }
    keep in 1
    exit
end



runby one_weighted_return, by(mdate beta_quantile)
keep mdate beta_quantile *_mean_rt mean_beta

drop if missing(beta_quantile, vw_mean_rt, ew_mean_rt) // THIS COMMAND SHOULD PREVENT THE RESHAPE ERROR

gen str32 group = "beta_group" + string(beta_quantile) + "_"
drop *_quantile
reshape wide ew_mean_@rt vw_mean_@rt mean_@beta, i(mdate) j(group) string

                  Comment

                  • #54
                    As for adjusted R2 in the code in #49, the -newey- command does not return any such statistic. And, although there are many "pretenders," in general there is no statistic that is truly analogous to R2 for other regression models. The R2 from OLS regressions is liked because it is simultaneously several different things. In other regression models, however, there is usually no statistic that has all of the properties of R2, and the various pseudo-R2 statistics in use typically satisfy some, but not all of those properties. On the assumption that what you are interested in here is some measure of the proportion of variance that the regression model explains, what I have done in the code below is provided you with the square of the correlation between the predicted values of the Newey regression and the observed values. I have not adjusted it for sample size or number of predictors, as I do not know if it even makes sense to do that in the context of a Newey-West regression. (I know next to nothing about Newey-West regression--the kind of data to which it applies simply doesn't arise in my area.) Even if it does make sense, given that it took 21 hours to run some of the code on your original data set, I am quite confident that your sample sizes will be large enough that the adjustment that would be made would be negligible. To make it clear that this is not a bona fide R2 statistic, I am calling it corr_sq.

                    Finally, I should point out that in the case of the first regression, which has only the constant term as a predictor, R2 is necessarily 0.

                    Code:
                    clear frames
use output_of_code_in_#47_dataset, clear
merge 1:1 mdate using 3_factors_dataset

foreach x in vw ew {
    gen HL_`x' = `x'_mean_beta_group10_rt - `x'_mean_beta_group1_rt
}

gen time = _n
tsset time

frame create results str32 variable float(b_cons se_cons b_mkt se_mkt ///
    b_smb se_smb b_hml se_hml corr_sq)
foreach v of varlist *_mean_beta_group*_rt HL_* {
    newey `v', lag(5)
    frame post results ("`v'") (_b[_cons]) (_se[_cons]) (.) (.) (.) (.) (.) (.) ///
        (0)
    newey `v' mkt, lag(5)
    predict xb if e(sample)
    corr xb `v'
    frame post results ("`v'") (_b[_cons]) (_se[_cons]) (_b[mkt]) (_se[mkt]) ////
        (.) (.) (.) (.) (r(rho)^2)
    drop xb
    newey `v' mkt smb hml, lag(5)
    predict xb if e(sample)
    corr xb `v'
    frame post results ("`v'") (_b[_cons]) (_se[_cons]) (_b[mkt]) (_se[mkt]) ////
        (_b[smb]) (_se[smb]) (_b[hml]) (_se[hml]) (r(rho)^2)
    drop xb
}

frame change results
foreach x in cons mkt smb hml {
    gen t_`x' = b_`x'/se_`x', after(se_`x')
}
browse

                    Comment

                    • #55
                      Kindly refer to #12 of this thread. We used it on monthly data. Now, I want to use it on a dataset with daily data of rt. What change is to be brought to #12.

                      Comment

                      • #56
                        I see several issues and need further information:

                        1. The calculations require classifying stock_ids based on percentiles of mcap from the previous June and bmr from the previous March. As you now have daily data, there will be 30 different values of mcap for each June and 31 for each March. So do you want to use the value from the first of the month, or the last, or the 15th, or some kind of median or mean value?

                        2. The calculations also require weighted averages weighted by the previous June's mcap. Will you use the same choice of mcap from among those of the previous June as used for the median mcap split grouping? Or something different.

                        3. In calculating the weighted mean returns, the code in #12 did so in every mcap-bmr-group separately every month. Do you now want a separate weighted mean in every mcap-bmr-group every day? If not, how do you want to aggregate up to larger time units?

                        4. The final results from the code in #12 are monthly observations of mean returns in each mcap-bmr-group (along with SMB and HML). Do you now want daily observations as the result? If not, how do you want to aggregate up to larger time units?

                        Comment

                        • #57
                          My reply is below:

                          1. The value from last of the month or end of the month.
                          2. Same previous June's mcap for weighted averages as used for median mcap split grouping.
                          3. Yes, i want a separate weighted mean in every mcap-bmr-group every day.
                          4. The final results should also be in daily observation form.

                          Comment

                          • #58
                            I'm interpreting "last of the month or end of the month" to mean the last date within the month for which a value of mcap or bmr is available. I don't know how those variables are ascertained, but I can imagine that if the actual last calendar day of the month falls on a weekend or holiday, there might be no value available, so in that case we go back to the last date on which mcap or bmr is actually assessed.

                            I believe the following code will do the job. Note that the variable mdate is no longer used, everything now is done in terms of the daily variable date.

                            Code:
                            gen moy = month(date)
gen year = year(date)

//  CREATE A "FISCAL YEAR" RUNNING FROM JULY THROUGH SUBSEQUENT JUNE
gen fyear = cond(moy > 6, year, year-1)
frame put stock_id fyear moy year date mcap bmr ///
    if (!missing(mcap) | !missing(bmr)) & inlist(moy, 3, 6), into(mcap_bmr_work)
frame change mcap_bmr_work
by stock_id year moy (date), sort: keep if _n == _N // KEEP LAST DAY OF MONTH
isid stock_id fyear moy, sort
replace fyear = year
collapse (first) bmr (last) mcap, by(stock_id fyear)

frame change default
rename (mcap bmr) orig=
frlink m:1 stock_id fyear, frame(mcap_bmr_work)
frget mcap bmr, from(mcap_bmr_work)
label var mcap "mcap June Preceding FY"
label var bmr "bmr March Preceding FY"
frame drop mcap_bmr_work
drop mcap_bmr_work
egen byte representative = tag(stock_id fyear)

//  MEDIAN SPLIT BASED ON JUNE VALUE OF mcap
capture program drop one_year_median_split
program define one_year_median_split
    xtile june_mcap_group = mcap, nq(2)
    exit
end
frame put stock_id fyear mcap if representative & !missing(mcap), into(median_split)
frame change median_split
runby one_year_median_split, by(fyear)
frame change default
frlink m:1 stock_id fyear, frame(median_split stock_id fyear) // ***
frget june_mcap_group, from(median_split)
frame drop median_split
drop median_split

//  SPLIT AT 30TH AND 70TH PERCENTILES OF bmr
capture program drop one_year_three_groups
program define one_year_three_groups
    if _N > = 3 {
        _pctile bmr, percentiles(30 70)
        gen cut = `r(r1)' in 1
        replace cut = `r(r2)' in 2
        xtile mar_bmr_group = bmr, cutpoints(cut)
    }
    else {
        gen mar_bmr_group = .
    }
    exit
end
frame put stock_id fyear bmr if representative & !missing(bmr), into(three_groups) // ***
frame change three_groups
runby one_year_three_groups, by(fyear) verbose
frame change default
frlink m:1 stock_id fyear, frame(three_groups stock_id fyear) // ***
frget mar_bmr_group, from(three_groups)
frame drop three_groups
drop three_groups

capture program drop one_weighted_return
program define one_weighted_return
    if !missing(june_mcap_group, mar_bmr_group) {
        egen numerator = total(mcap*rt)
        egen denominator = total(mcap)
        gen vw_mean_rt = numerator/denominator
    }
    exit
end
drop if missing(june_mcap_group, mar_bmr_group)
runby one_weighted_return, by(date june_mcap_group mar_bmr_group)

collapse (first) vw_mean_rt, by(date june_mcap_group mar_bmr_group)
drop if missing(vw_mean_rt)
keep date june_mcap_group mar_bmr_group vw_mean_rt

by date: egen S = mean(cond(june_mcap_group == 1, vw_mean_rt, .))
by date: egen B = mean(cond(june_mcap_group == 2, vw_mean_rt, .))
gen SMB = S - B

by date: egen H = mean(cond(mar_bmr_group == 3, vw_mean_rt, .))
by date: egen L = mean(cond(mar_bmr_group == 1, vw_mean_rt, .))
gen HML = H - L

//  AND IF YOU WANT TO REDUCE TO ONE OBSERVATION PER MONTH
label define june_mcap_group 1 "S" 2 "B"
label define mar_bmr_group 1 "L" 2 "M" 3 "H"
label values june_mcap_group june_mcap_group
label values mar_bmr_group mar_bmr_group
decode june_mcap_group, gen (mcap_group)
decode mar_bmr_group, gen(bmr_group)
drop june_mcap_group mar_bmr_group
egen groups = concat(mcap_group bmr_group)
keep date groups SMB HML vw_mean_rt
rename vw_mean_rt =_
reshape wide vw_mean_rt_, i(date) j(groups) string

                            Comment

                            • #59
                              This is the output generated by one of codes listed above:

                              Code:
                              * Example generated by -dataex-. For more info, type help dataex
clear
input float stock_id str52 stock int date float mdate double(pr mcap) float idiovol
1 "20 Microns Ltd."  20423 671     36.5    128.8  .15180425
1 "20 Microns Ltd."  20454 672     27.3    96.33  .10950197
1 "20 Microns Ltd."  20485 673     26.1     92.1  .09301163
1 "20 Microns Ltd."  20514 674    28.15    99.33  .07924972
1 "20 Microns Ltd."  20545 675     31.7   111.86    .158713
1 "20 Microns Ltd."  20575 676    28.55   100.74 .072114795
1 "20 Microns Ltd."  20606 677     29.7    104.8  .06689945
1 "20 Microns Ltd."  20636 678     29.3   103.39  .06400682
1 "20 Microns Ltd."  20667 679     38.2   134.79  .21093673
1 "20 Microns Ltd."  20698 680    36.45   128.62   .0909415
1 "20 Microns Ltd."  20728 681    40.65   143.44  .08971238
1 "20 Microns Ltd."  20759 682     35.7   125.97  .10669856
1 "20 Microns Ltd."  20789 683    32.95   116.27  .08298702
1 "20 Microns Ltd."  20820 684    38.75   136.74  .14690407
1 "20 Microns Ltd."  20851 685    36.05   127.21  .05534502
1 "20 Microns Ltd."  20879 686       35    123.5  .06207231
1 "20 Microns Ltd."  20910 687     43.9   154.91  .22075494
1 "20 Microns Ltd."  20940 688    37.25   131.44  .07736997
1 "20 Microns Ltd."  20971 689    37.85   133.56  .08051722
1 "20 Microns Ltd."  21001 690    38.55   136.03   .0807961
1 "20 Microns Ltd."  21032 691    37.45   132.15 .069374084
1 "20 Microns Ltd."  21063 692     41.7   147.14  .13633128
1 "20 Microns Ltd."  21093 693     51.4   181.37   .1800664
1 "20 Microns Ltd."  21124 694     58.3   205.72  .14240031
1 "20 Microns Ltd."  21154 695     58.3   205.72   .1068619
1 "20 Microns Ltd."  21185 696    52.75   186.14   .1121357
1 "20 Microns Ltd."  21216 697     50.5    178.2   .0620272
1 "20 Microns Ltd."  21244 698     49.1   173.26   .1247453
1 "20 Microns Ltd."  21275 699     47.6   167.96  .14557002
1 "20 Microns Ltd."  21305 700       43   151.73  .14636737
1 "20 Microns Ltd."  21336 701     35.6   125.62  .07735473
1 "20 Microns Ltd."  21366 702     41.7   147.14   .0823111
1 "20 Microns Ltd."  21397 703    49.25   173.79  .16660585
1 "20 Microns Ltd."  21428 704    42.45   149.79   .0817884
1 "20 Microns Ltd."  21458 705     42.8   151.03  .05799506
1 "20 Microns Ltd."  21489 706     42.8   151.03  .10888863
1 "20 Microns Ltd."  21519 707     42.2   148.91  .04020227
1 "20 Microns Ltd."  21550 708    37.05   130.74  .07178653
1 "20 Microns Ltd."  21581 709    36.55   128.97  .10064302
1 "20 Microns Ltd."  21609 710     38.2   134.79   .0774306
1 "20 Microns Ltd."  21640 711     37.1   130.91  .04773393
1 "20 Microns Ltd."  21670 712     40.6   143.26  .10399453
1 "20 Microns Ltd."  21701 713    37.05   130.74   .0635552
1 "20 Microns Ltd."  21731 714     33.8   119.27  .07565823
1 "20 Microns Ltd."  21762 715    33.75   119.09  .10563102
1 "20 Microns Ltd."  21793 716    40.05   141.32  .07741617
1 "20 Microns Ltd."  21823 717    38.35   135.32  .07788575
1 "20 Microns Ltd."  21854 718    33.55   118.39  .08756137
1 "20 Microns Ltd."  21884 719     35.2   124.21  .06998083
1 "20 Microns Ltd."  21915 720     34.9   123.15  .11265282
1 "20 Microns Ltd."  21946 721     31.2   110.09   .0808599
1 "20 Microns Ltd."  21975 722    25.55    90.16   .1146018
1 "20 Microns Ltd."  22006 723    29.05   102.51  .22777008
1 "20 Microns Ltd."  22036 724    26.15    92.27  .05658275
1 "20 Microns Ltd."  22067 725     32.4   114.33  .19901267
1 "20 Microns Ltd."  22097 726     28.6   100.92  .08823687
1 "20 Microns Ltd."  22128 727    30.95   109.21  .11920004
1 "20 Microns Ltd."  22159 728    28.25    99.68  .08832553
1 "20 Microns Ltd."  22189 729     28.4   100.21  .05650701
1 "20 Microns Ltd."  22220 730     32.1   113.27  .07832587
1 "20 Microns Ltd."  22250 731     40.2   141.85   .1509842
1 "20 Microns Ltd."  22281 732    36.65   129.33  .07885768
1 "20 Microns Ltd."  22312 733    36.45   128.62  .06627448
1 "20 Microns Ltd."  22340 734    35.15   124.03  .06961816
1 "20 Microns Ltd."  22371 735     38.2   134.79  .06409864
1 "20 Microns Ltd."  22401 736     64.1   226.19   .3120904
1 "20 Microns Ltd."  22432 737    60.15   212.25  .12140137
1 "20 Microns Ltd."  22462 738     66.5   234.66   .0796833
1 "20 Microns Ltd."  22493 739    53.85   190.02  .07174803
1 "20 Microns Ltd."  22524 740     61.2   215.95  .20695087
1 "20 Microns Ltd."  22554 741    58.55    206.6  .09502423
1 "20 Microns Ltd."  22585 742     58.1   205.01  .07524765
1 "20 Microns Ltd."  22615 743    63.45   223.89  .08102456
1 "20 Microns Ltd."  22646 744     91.5   322.87    .299464
1 "20 Microns Ltd."  22677 745     71.2   251.24   .1011769
1 "20 Microns Ltd."  22705 746    73.85   260.59 .069671996
1 "20 Microns Ltd."  22736 747       81   285.82  .11349297
1 "20 Microns Ltd."  22766 748    80.25   283.17  .16770604
1 "20 Microns Ltd."  22797 749     68.6   242.07  .04877379
1 "20 Microns Ltd."  22827 750     90.1   317.93   .1762419
1 "20 Microns Ltd."  22858 751   109.65   386.92   .2041921
1 "20 Microns Ltd."  22889 752    97.75   344.93  .08502114
1 "20 Microns Ltd."  22919 753    88.95   313.87 .033111095
1 "20 Microns Ltd."  22950 754    93.25   329.05  .08664793
1 "20 Microns Ltd."  22980 755    91.05   321.28  .08273523
2 "360 One Wam Ltd." 20423 671        .        .          .
2 "360 One Wam Ltd." 20454 672        .        .          .
2 "360 One Wam Ltd." 20485 673        .        .          .
2 "360 One Wam Ltd." 20514 674        .        .          .
2 "360 One Wam Ltd." 20545 675        .        .          .
2 "360 One Wam Ltd." 20575 676        .        .          .
2 "360 One Wam Ltd." 20606 677        .        .          .
2 "360 One Wam Ltd." 20636 678        .        .          .
2 "360 One Wam Ltd." 20667 679        .        .          .
2 "360 One Wam Ltd." 20698 680        .        .          .
2 "360 One Wam Ltd." 20728 681        .        .          .
2 "360 One Wam Ltd." 20759 682        .        .          .
2 "360 One Wam Ltd." 20789 683        .        .          .
2 "360 One Wam Ltd." 20820 684        .        .          .
2 "360 One Wam Ltd." 20851 685        .        .          .
2 "360 One Wam Ltd." 20879 686        .        .          .
2 "360 One Wam Ltd." 20910 687        .        .          .
2 "360 One Wam Ltd." 20940 688        .        .          .
2 "360 One Wam Ltd." 20971 689        .        .          .
2 "360 One Wam Ltd." 21001 690        .        .          .
2 "360 One Wam Ltd." 21032 691        .        .          .
2 "360 One Wam Ltd." 21063 692        .        .          .
2 "360 One Wam Ltd." 21093 693        .        .          .
2 "360 One Wam Ltd." 21124 694        .        .          .
2 "360 One Wam Ltd." 21154 695        .        .          .
2 "360 One Wam Ltd." 21185 696        .        .          .
2 "360 One Wam Ltd." 21216 697        .        .          .
2 "360 One Wam Ltd." 21244 698        .        .          .
2 "360 One Wam Ltd." 21275 699        .        .          .
2 "360 One Wam Ltd." 21305 700        .        .          .
2 "360 One Wam Ltd." 21336 701        .        .          .
2 "360 One Wam Ltd." 21366 702        .        .          .
2 "360 One Wam Ltd." 21397 703        .        .          .
2 "360 One Wam Ltd." 21428 704        .        .          .
2 "360 One Wam Ltd." 21458 705        .        .          .
2 "360 One Wam Ltd." 21489 706        .        .          .
2 "360 One Wam Ltd." 21519 707        .        .          .
2 "360 One Wam Ltd." 21550 708        .        .          .
2 "360 One Wam Ltd." 21581 709        .        .          .
2 "360 One Wam Ltd." 21609 710        .        .          .
2 "360 One Wam Ltd." 21640 711        .        .          .
2 "360 One Wam Ltd." 21670 712        .        .          .
2 "360 One Wam Ltd." 21701 713        .        .          .
2 "360 One Wam Ltd." 21731 714        .        .          .
2 "360 One Wam Ltd." 21762 715        .        .          .
2 "360 One Wam Ltd." 21793 716  1235.05 10724.88          .
2 "360 One Wam Ltd." 21823 717  1327.45 11527.26  .10851449
2 "360 One Wam Ltd." 21854 718   1311.4 11398.11  .06815534
2 "360 One Wam Ltd." 21884 719  1133.85  9876.49  .10201366
2 "360 One Wam Ltd." 21915 720  1338.95 11665.33   .1548591
2 "360 One Wam Ltd." 21946 721  1463.95  12759.9  .09001794
2 "360 One Wam Ltd." 21975 722   1005.8  8768.67  .19371256
2 "360 One Wam Ltd." 22006 723   953.05  8308.88    .153316
2 "360 One Wam Ltd." 22036 724    844.6  7363.79  .05299322
2 "360 One Wam Ltd." 22067 725  1021.75  8910.16  .14037482
2 "360 One Wam Ltd." 22097 726  1070.25  9334.51   .0917381
2 "360 One Wam Ltd." 22128 727   1023.5  8934.65  .09785583
2 "360 One Wam Ltd." 22159 728   961.75  8402.17  .06192819
2 "360 One Wam Ltd." 22189 729   919.95  8040.72  .07568683
2 "360 One Wam Ltd." 22220 730  1015.65  8896.99  .07538057
2 "360 One Wam Ltd." 22250 731  1011.85  8869.69 .072915204
2 "360 One Wam Ltd." 22281 732   1013.9  8890.19  .06433145
2 "360 One Wam Ltd." 22312 733   1212.4 10650.61    .089387
2 "360 One Wam Ltd." 22340 734   1239.4 10892.19  .07450091
2 "360 One Wam Ltd." 22371 735  1127.35  9911.39  .08722831
2 "360 One Wam Ltd." 22401 736  1185.65 10425.99   .1233501
2 "360 One Wam Ltd." 22432 737  1164.35 10239.89  .06242716
2 "360 One Wam Ltd." 22462 738   1411.3  12411.7  .14326282
2 "360 One Wam Ltd." 22493 739  1621.95 14336.16  .19245663
2 "360 One Wam Ltd." 22524 740     1572  13902.7  .08563457
2 "360 One Wam Ltd." 22554 741   1629.9 14419.77   .1597674
2 "360 One Wam Ltd." 22585 742     1490 13192.93  .07566474
2 "360 One Wam Ltd." 22615 743  1419.65 12586.08   .1090008
2 "360 One Wam Ltd." 22646 744   1601.2 14197.31  .09659116
2 "360 One Wam Ltd." 22677 745  1531.55 13581.43  .07130557
2 "360 One Wam Ltd." 22705 746   1668.9 14804.45 .072800726
2 "360 One Wam Ltd." 22736 747  1721.15  15271.3  .07746077
2 "360 One Wam Ltd." 22766 748   1566.4 13903.23   .1180934
2 "360 One Wam Ltd." 22797 749  1481.05  13146.7      .0755
2 "360 One Wam Ltd." 22827 750  1671.95 14847.36  .07194163
2 "360 One Wam Ltd." 22858 751  1677.45  14898.8  .03754364
2 "360 One Wam Ltd." 22889 752   1840.3 16349.15  .12426206
2 "360 One Wam Ltd." 22919 753   1771.4 15746.25  .09393045
2 "360 One Wam Ltd." 22950 754  1828.55 16259.08 .073346466
2 "360 One Wam Ltd." 22980 755   1776.5 15806.88  .04276332
3 "3I Infotech Ltd." 20423 671     4.85   308.55   .3060178
3 "3I Infotech Ltd." 20454 672     4.65   295.83 .070726916
3 "3I Infotech Ltd." 20485 673     3.95   253.12   .1047636
3 "3I Infotech Ltd." 20514 674     4.15   265.93  .09094843
3 "3I Infotech Ltd." 20545 675     4.25   272.34  .06959453
3 "3I Infotech Ltd." 20575 676      3.8   243.51  .07588033
3 "3I Infotech Ltd." 20606 677      5.1   326.81   .2280496
3 "3I Infotech Ltd." 20636 678      5.1   327.13  .12016416
3 "3I Infotech Ltd." 20667 679     5.25   336.76  .19794016
3 "3I Infotech Ltd." 20698 680     5.75   516.86  .12810433
3 "3I Infotech Ltd." 20728 681     6.65   597.76  .11753883
3 "3I Infotech Ltd." 20759 682     5.45   489.89  .13370286
3 "3I Infotech Ltd." 20789 683     5.65   591.81  .08836084
3 "3I Infotech Ltd." 20820 684      5.6   647.21   .1410187
3 "3I Infotech Ltd." 20851 685      5.1   589.43  .06204581
3 "3I Infotech Ltd." 20879 686     5.05   597.74  .07652818
3 "3I Infotech Ltd." 20910 687      5.5   658.42  .08884872
3 "3I Infotech Ltd." 20940 688     4.55   566.92 .065771624
3 "3I Infotech Ltd." 20971 689     4.25   546.55  .14354813
3 "3I Infotech Ltd." 21001 690     4.15   533.69  .09003264
3 "3I Infotech Ltd." 21032 691      4.1   527.26  .08426387
3 "3I Infotech Ltd." 21063 692     3.85   513.24   .0749923
3 "3I Infotech Ltd." 21093 693      3.8   506.57   .0829519
3 "3I Infotech Ltd." 21124 694     3.85   513.24  .10653754
3 "3I Infotech Ltd." 21154 695        8  1067.32   .2758485
3 "3I Infotech Ltd." 21185 696     6.15   982.81   .1855145
3 "3I Infotech Ltd." 21216 697     5.85   943.44   .1086712
3 "3I Infotech Ltd." 21244 698     5.05   815.76  .12166346
3 "3I Infotech Ltd." 21275 699     4.95   799.68   .1494787
3 "3I Infotech Ltd." 21305 700     4.75   767.37   .1535512
3 "3I Infotech Ltd." 21336 701     4.25   686.61  .14887816
3 "3I Infotech Ltd." 21366 702      3.6    581.6  .12549558
3 "3I Infotech Ltd." 21397 703      3.6    581.6  .12537315
3 "3I Infotech Ltd." 21428 704      3.4   549.41   .1612394
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3 "3I Infotech Ltd." 22493 739     8.45  1366.07   .1158908
3 "3I Infotech Ltd." 22524 740        .        .          .
3 "3I Infotech Ltd." 22554 741    39.45   637.77          .
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4 "3M India Ltd."    20423 671 11397.55 12839.42  .07020025
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end
format %td date
format %tm mdate
                              From this, by mdate, i need cross-sectional averages of idiovol both simple mean as well as weighted mean (weight = previous month's mcap)

                              Then need to test for trend in the these two averages. Is it possible to develop the vogelsang's trend test that uses following specification:
                              Click image for larger version Name: WhatsApp Image 2023-02-03 at 1.06.40 AM.jpeg Views: 1 Size: 177.5 KB ID: 1700086
                              :

                              Comment

                              • #60
                                This looks feasible, but an ingredient is missing:
                                and b is a constant tabulated by Vogelsang associated with corresponding significance levels.
                                I need that constant b in order to complete the calculation.

                                Comment

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