Category Archives: Stata

Stata command to calculate the area under ROC curve

If we want to evaluate the predictive ability of a logit or probit model, Kim and Skinner (2012, JAE, Measuring securities litigation risk) suggest that A better way of comparing the predictive ability of different models is to use the Receiver … Continue reading

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Stata commands to calculate skewness

Suppose we are going to calculate the skewness of 12 monthly returns. The 12 returns may be stored in a row (Figure 1) or in a column (Figure 2). This post discusses how to calculate the skewness in these two … Continue reading

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Commonly used Stata commands to deal with potential outliers

In accounting archival research, we often take it for granted that we must do something to deal with potential outliers before we run a regression. The commonly used methods are: truncate, winsorize, studentized residuals, and Cook’s distance. I discuss in … Continue reading

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Sample code for “outreg” command in Stata

outreg is a time-saving and must-have command in Stata. It will generate a ready-for-use results table like this. I’m sure you will see what a relief this can give us. outreg is not a built-in command and can be installed … Continue reading

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A loop of cross-sectional regressions for calculating abnormal accruals in Stata

I write a loop of cross-sectional regressions for calculating abnormal accruals. This program can be easily modified and replaced with Jones, modified Jones, or Dechow and Dichev model. I add detailed comments in the program to help you prepare the input … Continue reading

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Rolling-window computation in SAS and Stata

SASers often find proc expand plus transformout very useful for rolling-window (or moving-window) computation. Stataers may wonder if there is a counter party in Stata. The answer is “yes”. The command in Stata is rolling. See the manual below: http://www.stata.com/manuals13/tsrolling.pdf The … Continue reading

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How to remove duplicate GVKEY-DATADATE when using Compustat Annual (FUNDA) and Quarterly (FUNDQ)?

The annual data (FUNDA) is easy to deal with, we just need to apply the following conditions: indfmt==”INDL” & datafmt==”STD” & popsrc==”D” & consol==”C” If we have converted FUNDA to Stata format, the uniqueness of GVKEY-DATADATE can be verified using … Continue reading

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Regression with a large dummy-variable set (e.g., firm and year fixed effects) in Stata

I run a regression in Stata with a Compustat dataset that contains fyear and gvkey. I want to add firm and year fixed effects, so I type the following command: regress DV IV i.fyear i.gvkey But Stata returns the error … Continue reading

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Stata command to create Fama-French industry classifications based on SIC codes

See ffind written by Judson Caskey. Here is his website: https://sites.google.com/site/judsoncaskey/data The syntax is as follows (download Help file here): ffind sic, newvar(ffi) type(30) type(30) means Fama_French 30 industries classification. Type must be 5, 10, 12, 17, 30, 38, 48 or … Continue reading

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Fuzzy match in Stata

Nice article. http://ebp-projects.isr.umich.edu/NCRN/papers/wasi_flaaen_statarecordlinkageutilities.pdf Author’s website: http://www-personal.umich.edu/~nwasi/programs.html For installation, type the following command in Stata: net from http://www-personal.umich.edu/~nwasi/programs net install stnd_compname.pkg Update on August 30, 2018—The foregoing URLs seem broken. Please use the following command to install the package: net from http://www.stata-journal.com/software/sj15-3 net … Continue reading

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