Category Archives: Stata

Rolling-window computation in SAS and Stata

Posted on September 17, 2015 by Kai Chen

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 →

Posted in Learning Resources, SAS, Stata | Leave a comment

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

Posted on August 21, 2015 by Kai Chen

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 →

Posted in Learning Resources, Stata | Tagged , | 18 Comments

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

Posted on August 4, 2015 by Kai Chen

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 →

Posted in Stata | Leave a comment

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

Posted on June 18, 2015 by Kai Chen

[Update on January 18, 2023] I was advised that the installation command in the original post didn’t work anymore. The author now instructed users, on his website, to find packages here. You can download a package, as well as its help … Continue reading →

Posted in Stata | 30 Comments

Fuzzy match in Stata

Posted on June 7, 2015 by Kai Chen

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 →

Posted in Stata | 2 Comments

Calculate CFO tenure with Execucomp in Stata

Posted on June 6, 2015 by Kai Chen

Nice article and nice blog! Happy to find that someone built a similar blog. https://robsonglasscock.wordpress.com/2014/04/01/determining-cfo-tenure-with-execucomp-data/

Posted in Stata | 1 Comment

Which is better for archival accounting research, SAS or Stata?

Posted on February 26, 2015 by Kai Chen

The short answer is: we need both. When we do archival accounting research, we often need to merge data across various databases, such as COMPUSTAT, CRSP, and EXECUCOMP. Stata can by no means beat SAS in this regard. SAS supports … Continue reading →

Posted in Learning Resources, SAS, Stata | 2 Comments