Author Archives: Kai Chen

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 →

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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 →

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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

Common commands to deal with date in Stata

Posted on July 9, 2019 by Kai Chen

egen compdatadate=eom(fiscalmonth fiscalyear) format compdatadate %td To be continued …

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Stata command to order tabulation result with only top values shown

Posted on July 5, 2019 by Kai Chen

tabulate varname command is handy in Stata, but sometimes it returns a too long result, if varname contains too many unique values. The third-party command, groups, will solve the problem by showing top values only. Please use ssc install groups … Continue reading →

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Empower “and” and “or” in IF statement in Stata

Posted on May 13, 2019 by Kai Chen

Stata is a little bit awkward when using and and or in if statement, compared to SAS. For example: In SAS, we can write if 2001 <= fyear <= 2010. But in Stata, we usually write: if fyear >= 2001 … Continue reading →

Posted in Stata | 1 Comment

Display mean and median test results in Stata

Posted on April 18, 2019 by Kai Chen

Sometimes we may want to produce the following table to compare the mean and median of two groups: First of all, please refer to this post to see Stata commands to test equality of mean and median. However, it is … Continue reading →

Posted in Stata | 12 Comments

Stata commands to do Heckman two steps

Posted on March 24, 2019 by Kai Chen

We often see Heckman’s two steps in accounting literature. But how to do it in Stata? The two steps refer to the following two regressions: Outcome equation: y = X × b1 + u1 Selection equation: Dummy = Z × … Continue reading →

Posted in Stata | 5 Comments