Monthly Archives: July 2018

Stata command to convert string GVKEY to numerical GVKEY or vice versa

Posted on July 23, 2018 by Kai Chen

The default type of GVEKY in Compustat is string. Sometimes, we need it to be a numerical type in Stata (e.g., when we want to use the super handy command tsset). The command to convert string GVKEY to numerical GVEKY … Continue reading →

Posted in Stata | 1 Comment

Stata command to calculate the area under ROC curve

Posted on July 19, 2018 by Kai Chen

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 →

Posted in Stata | 1 Comment

Stata commands to calculate skewness

Posted on July 16, 2018 by Kai Chen

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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Use Python to download lawsuit data from Stanford Law School’s Securities Class Action Clearinghouse

Posted on July 15, 2018 by Kai Chen

[Update on 2022-01-08] This website requires login now. I add a function to login and retrieve the protected content. The code may terminate (e.g., every 80 pages) due to timeout or connection error, and thus you may need to run it … Continue reading →

Posted in Python | 12 Comments