Dear All,   Could you please help me to estimate the following probability transition matrix?   I have companies each month with certain values like this:   Month      Company      Value 1                    1                10 1                    2                14 1                    5                15.5 1                    7                8 1                    9                3 1                   10               11 1                   13               16 1                   15               12 1                   16               19 1                   18               7 1                   20               11 1                   21               5 1                   22               8 2                   1                 9 2                   2                13 2                   3                20 2                   4                2 2                   5                19 2                   8                9 2                  10               10 2                  11               7 2                  12               13 2                  13               3 2                  15               20 2                  16               23 2                  18               17 2                  20               21 2                  21               8   I need to do the following. First, sort companies in ascending order into ten groups (portfolios) each month (in total I have 203 months) based on their value. Second, I need to obtain the average of the month-to-month transition matrices for the companies in these groups i.e. the average probability (in percent) that a company in group i (presumably, given by the rows of the matrix) in one month will be in group j (possibly given by the columns of the matrix) in the subsequent month.   So the martrix should be something like this:                 1                                                                                                         2         3         4         5         6         7          8         9        10 1   prob(firm in group 1 in month t remains to be in group 1 in month t+1) 2   prob(firm in group 2 in month t moves to group 1 in month t+1) 3      ... 4     ... 5     ... 6     ...  7     ... 8     ... 9     ... 10 prob(firm in group 10 in month t moves to group 1 in month t+1)   I would hugely appreciate any help since I have spent entire day attempting to write a code, but got nothing at the end of the day. Please, please help me with this matrix.   Kind regards, Ruslan ... View more

Dear All, I have the following data (two datasets): Company    Date                           Company    Date       Value 1               199601                         1                 199606      10 1               199602                         1                 199706      11 1               199603                         1                 199806      12 1               199604 1               199605 1               199606 1               199607 1               199608 1               199609 1               199610 1               199611 1               199612 1               199701 1               199702 1               199703 1               199704 1               199705 1               199706 1               199707 1               199708 1               199709 1               199710 1               199711 1               199712 1               199801 1               199802 1               199803 1               199804 1               199805 1               199806 1               199807 1               199808 1               199809 1               199810 1               199811 1               199812 I need to obtain the following dataset: Company    Date          Value                 1               199601         10                 1               199602         10              1               199603         10              1               199604         10 1               199605         10 1               199606         11 1               199607         11 1               199608         11 1               199609         11 1               199610         11 1               199611         11 1               199612         11 1               199701         11 1               199702         11 1               199703         11 1               199704         11 1               199705         11 1               199706         12 1               199707         12 1               199708         12 1               199709         12 1               199710         12 1               199711         12 1               199712         12 1               199801         12 1               199802         12 1               199803         12 1               199804         12 1               199805         12 1               199806          . 1               199807          . 1               199808          . 1               199809          . 1               199810          . 1               199811          . 1               199812          . So, for each company I need to add "value" column from the second to the first dataset. The criteria how to add is the following. Add 10 if first date in the second dataset (199606) is greater (but not equal!!) than the dates in the first dataset. Then, add 11 if the second date in the second dataset (199706) is greater than the dates in the first dataset, but less or equal than 199606. Finally, add 12 if the third date in the second dataset (199806) is greater than the dates in the first dataset, but less or equal than 199706. Please note that I should have "value" column missing if date is greater or equal than 199806. I look forward to getting your reply. Kind regards, Ruslan ... View more

Dear All, My data looks as follows: A        B        C       D   1        4        34      5 1        4        25      8 1        4        65      2 1        4        56      8 1        3        32      9 1        3        30      0 2        5        56      10 2        5        35      11 2        5        78      13 2        5        60      12 2        5        28      16 2        5        26      18 3        7        40      19 3        7        50      22 3        7        39      20 3        7        25      11 4        9        31       22 4        9        37       27 5        9        40       21 5        9        62      25 What I need to do is to remove observations where there 2 distinct values in column B (in data above, these values are 4 and 3) for 1 distinct value (value = 1) in column A. Additionally, there are some reverse cases where for 1 value in B (value = 9) there are two values in A (values are 4 and 5). Thus, in the example provided above, I need to remove first 6 observations (where unique value in column A = 1) and last 4 observations (where unique value in column B = 9) because there are 2 distinct values for 1 distinct value in either column A or B. First six and last four observations to be removed is just an example - I can have 2 distinct values for 1 distinct value somewhere in the middle of the sample. Any help would be hugely appreciated. I look forward to hearing from you soon. Kind regards, Ruslan ... View more