Author Archives: Kai Chen

Link FactSet and CRSP

Posted on February 12, 2022 by Kai Chen

Both FactSet and CRSP have identifier files that contain primary identifiers at the entity level and the security level (note: an entity may issue multiple securities) and provide a map between their primary identifiers and all other historical identifiers (e.g., … Continue reading →

Posted in Data | 4 Comments

A test on Stata running speed on MacBook Pro (M1 Pro chip) and old Macs

Posted on February 3, 2022 by Kai Chen

I ran a test on Stata running speed on my newest MacBook Pro (14-inch, 2021) and two old Macs—iMac (27-inch, 2019) and MacBook Pro (16-inch, 2019). Technical specifications: MacBook Pro (14-inch, 2021): CPU Apple M1 Pro (10-core), memory 16G, SSD … Continue reading →

Posted in Stata | 6 Comments

My thoughts on Python for accounting research

Posted on January 7, 2022 by Kai Chen

There is a temptation for accounting PhD students to invest in learning Python. However, I would recommend accounting PhD students focus more on SAS + Stata than on Python in their first year for a few practical and technical reasons: … Continue reading →

Posted in Learning Resources, Python | 1 Comment

Use Stata to do propensity score matching (PSM)

Posted on August 30, 2021 by Kai Chen

Most propensity score matching (PSM) examples are using cross-sectional data instead of panel data. However, accounting research often uses panel data (i.e., observations with two subscripts i and t, e.g. firm-years) in a difference-in-differences (DID) research design, so that there are … Continue reading →

Posted in Stata | 4 Comments

Export a SAS dataset to Stata with all variable names converted to lowercase

Posted on March 6, 2021 by Kai Chen

I use both SAS and Stata and often need to transfer data between the two. SAS is case-sensitive and Stata is not. I always prefer working with lowercase variable names in Stata. The following code is used to export a … Continue reading →

Posted in SAS | 3 Comments

Clean up TRACE Enhanced dataset

Posted on September 16, 2019 by Kai Chen

WRDS provides an excellent manual (link) and SAS code (link) for cleaning up the raw TRACE Enhanced bond transaction data, primarily based on the work done by Dick‐Nielsen, Jens, How to Clean Enhanced TRACE Data (December 3, 2014). Available at … Continue reading →

Posted in SAS | Leave a comment

Stata command to perform Chow test

Posted on August 13, 2019 by Kai Chen

A Chow test is simply a test of whether the coefficients estimated over one group of the data are equal to the coefficients estimated over another. I find two useful articles from Stata’s official website: Can you explain Chow tests? … Continue reading →

Posted in Stata | 5 Comments

SAS macro to count the number of analysts following a firm

Posted on August 8, 2019 by Kai Chen

This macro is used to count the number of analysts who followed a specific firm. Although this is a commonly used measure in literature, prior studies often give a vague description on what they do. The question is—what does “analysts … Continue reading →

Posted in SAS | 1 Comment

The art of regular expression

Posted on July 9, 2019 by Kai Chen

Regular expression is a powerful tool to do text search. It is the foundation of a lot of textual analysis research, though today’s textual analysis in computer science has gone far beyond text search. Regular expression operations are programming language … Continue reading →

Posted in Python | 1 Comment

Stata commands to change variable names or values of string variables to all lowercase

Posted on July 9, 2019 by Kai Chen

Stata is a case-sensitive application. Sometimes this will cause a trouble. So, we may want to change variable names or values of variables to all lowercase before we start processing data. This post gives a fast way to do this. … Continue reading →

Posted in Stata | 2 Comments