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Monthly Archives: July 2018
Stata command to convert string GVKEY to numerical GVKEY or vice versa
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
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
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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Use Python to download lawsuit data from Stanford Law School’s Securities Class Action Clearinghouse
[Update on 20190707] I am grateful to Shiyu Chen, my research assistant, who did a very good job on not only web scraping the toplevel table, but also extracting from the case summary page additional information (link to case summary … Continue reading