About mspak

mspak · ‎09-16-2015

Dear Reeza, Yes, I tried. Thank you.

mspak · ‎09-15-2015

Dear all, The attached dataset contains the missing "state" and "stateab". These two variables can be matched with the "STCOD". Could anyone suggest a program that can help me to update the missing variables? Thank you. MSPAK

mspak · ‎09-15-2015

Dear all, The attached dataset contains the missing "state" and "stateab". These two variables can be matched with the "STCOD". Could anyone suggest a program that can help me to update the missing variables? Thank you. MSPAK

mspak · ‎09-15-2015

Dear all, I have a dataset with the inherent ratio for years 1971, 1980, 1990, 2000 and 2010. I would like to interpolate the between values (for example, 1972 - 1979, 1981 - 1989, 1991 - 1999, 2001 - 2009, and 2011 - 2014) in my data. Could anyone suggest a good solution for the linear interpolation? Thanks in advance. Regards, MSPAK

mspak · ‎09-15-2015

Dear all, Thank you very much for all the solutions and suggestions provided. I truly appreciate your contributions. I finally manage to combine 2 datasets.

mspak · ‎09-15-2015

Hi, I am using SAS9.4 Windows64. The SAS files uploaded were in imported from (stata) dta files.

mspak · ‎09-13-2015

Hi all, These two files attached. I try to merge these two files together but the format of the variable "STATE" are different. TQ.

mspak · ‎09-13-2015

Dear all, I would like to merge two datasets with different informat of a variable. I tried to change the variable "STATE" from a numeric variable to a character variable using PUT function prior to merging but I failed. Could anyone recommend a better way to solve the problem? Thank you. MSPAK

mspak · ‎12-03-2014

Thank you to all the helpers, I think Peter's solution is the simplest perhaps. I have another problem is that not all the observations with non-missing fyear+1 and fyear+2. In order to mitigate this problem and to ensure all the gvkey with non-missing years, I perform the following: proc sql; create table a as select * from (select distinct FYEAR from SAMPLEDATA), (select distinct GVKEY from SAMPLEDATA) ; quit; data want; merge a SAMPLEDATA; by gvkey FYEAR; run; However, if I wish to exclude missing observations from a given year, how should I do that? For example, if I wish to compute the sum_txpd3 for a given gvkey for year 2013, I must have non-missing txpd for year 2011, 2012 and 2013. If the data for 2012 is missing, then the sum_txpd3 should be left as ".". With the code given by Peter, the the total of txpd for years 2011 to 2013 still will be calculated even if there is one missing txpd, lets say 2012. Thank you. Regards, MSPAK

mspak · ‎11-30-2014

Dear all, I would like to compute the total of a variable starting from t-2 to t for a company (gvkey). It seems that proc expand can perform time series total from lag variables. My data (attached) is presented as follows: GVKEY FYEAR TXPD 001004 1995 5.3 001004 1996 8.6 001004 1997 6.2 001004 1998 4.4 001004 1999 11.3 001004 2000 3.2 .... I would like to generate a new variable, namely sum_TXPD3. The new variable is computed by totaling the TXPD for 3 years starting from t-2 to t (i.e., t-2, t-1, and t). For example, for the company with the gvkey code 001004, the sum_TXPD3 should be blank for fyear 1995 and 1996 as there is no sufficient data to compute the variable. For the year 1997, the sum_TXPD3 should be 20.1 (5.3 + 8.6 + 6.2). There might be some missing data in the between of the time series. For example, if the fyear 1996 is missing, then the sum_TXPD3 for fyear 1997 should be stated as ".". Hope anyone here to help me to resolve the problem. I am not sure proc expand can help in this problem? Thank you in advanced. Regards, mspak

mspak · ‎12-31-2013

Hi Steve, I am not majoring in econometrics. I am doing corporate finance (with firm-year observations) research, therefore, we normally don't use a very advanced method. There is no perfect method in the the world. Most of the time, due to the limitation of data, we can't apply a very sophisticated method with many lags. Happy New Year to you Regards, Mspak

mspak · ‎12-31-2013

Hi Steve, Thank you for your suggestion. My method is suggested by prior researchers. I have to run OLS for each year. The program will provide me with adjusted R-square for each model (each year). I have 12 years in my dataset, then I will have 12 regressions. All of the estimates (parameters) will be averaged over 12, same as to the adjusted R-square. I found the following program is workable for calculating the average adjusted R square: data MSE (drop=label2 cValue2 nValue2 cValue1) RSquare (drop=label1 cValue1 cValue2 nValue1) AdjRSQ (drop=label1 cValue1 cValue2 nValue1); set fitstats; if label1 = "Root MSE" then output MSE; if label2 = "R-Square" then output RSquare; if label2 = "Adj R-Sq" then output AdjRSq; run; DATA mse1 (drop=label1); set mse; RENAME nValue1 = MSE; RUN; DATA RSquare1 (drop=label2); set RSquare; RENAME nValue2 = RSquare; RUN; DATA AdjRSq1 (drop=label2); set AdjRSq; RENAME nValue2 = AdjRSq; RUN; data stat; merge mse1 RSquare1 AdjRSq1; by fyear model dependent; run; proc transpose data= stat out=stat1; id fyear; run; DATA STAT2 (keep=_NAME_ average); SET STAT1; average = MEAN(of _:); run; proc print data=stat2; title 'Average Fit statistic of Fama Macbeth regression'; run; Thank you for your comment. I also provide the program for reference (to others). Regards, mspak

mspak · ‎12-31-2013

Dear all, Good days to everyone here. I wish to run regression using Fama Macbeth approach. I obtained the following macro program: %macro FamaMacbeth(dset, depvar, indvars); /******run cross-sectional regressions by fyear for all firms and report the means. ****/ proc sort data=&dset.; by fyear ; run; ods listing close; ods output parameterestimates=pe; proc reg data=&dset. ; by fyear; model &depvar. = &indvars.; run; quit; ods listing; proc means data=pe mean std t probt; var estimate; class variable; title "Fama Macbeth estimates"; ods output summary=summary parameterestimates=pe; run; %mend; I can get the average estimates of the coefficient, t statistics and so on. However, the average adjusted R square ( = sum of adjusted R square for all the years divided by number of year) is not shown. I wish to seek for helps on how to get the average adjusted R square from SAS. Thank you and hope to get the reply sooner. Regards, mspak

mspak · ‎02-07-2013

Thanks DBailey for the code. I always used zipcitydistance function in SAS to calculate the geographical distance. Can the following (7921.6623*arsin(sqrt((sin((&pi180*t2.latitude_y - &pi180*t1.latitude_y)/2))**2 + cos(&pi180*t1.latitude_y)*cos(&pi180*t2.latitude_y)*(sin((&pi180*t2.longitude_x - &pi180*t1.longitude_x)/2))**2))) < 50 replaced with .<zipcitydistance<=50? Thank you. Regards, mspak

mspak · ‎02-07-2013

Dear all, I have a dataset with the following variables: gvkey = firm identification code fyear = financial year (since year 1950) sic3 = industry classification code based on the first 3-digit zipcode = US zipcode I wish to calculate the following variable: Cluster age, measured as the number of years since the first firm in a given industry (sic3) was founded in the cluster, where Cluster, is measured as 50 miles radius from the firm (gvkey) (note: 50 miles radius can be calculated by using the zipcode of the firm), for a given financial year (fyear) in a particular industry (sic3). In order to calculate cluster age, I must first to know the year that the first firm (in the same industry - SIC3) was found within 50 miles radius from the firm (gvkey), which is also in the same industry as the firm (gvkey). Mathematical formula to calculate cluster age = fyear - firstyear + 1, where firstyear = the year that the first firm (in the same industry - SIC3) was found within 50 miles radius from the firm (gvkey). I have no idea on how to calculate this variable. Hope to get any suggested SAS code which can help me to calculate the cluster age efficiently. Thank you in advance. Regards, mspak

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Re: Select most recent row with value

Re: Select most recent row with value

Select most recent row with value

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Optimal Lag length

Creating zipcodes with FIPS codes

Re: Interpolation

Interpolation

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Re: Select most recent row with value

Re: Select most recent row with value

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Re: Combine Datasets using Inexact Character Variables in SAS

Combine Datasets using Inexact Character Variables in SAS

Re: Comparison between largest and second largest value

Re: Update the missing variables

Update the missing variables

Update the missing variables

Linear interpolation

Re: merging datasets

Re: merging datasets

Re: merging datasets

merging datasets

Re: Sum of variables from t-2 to t

Sum of variables from t-2 to t

Re: Avearage adjusted R square in FamaMacbeth regression

Re: Avearage adjusted R square in FamaMacbeth regression

Avearage adjusted R square in FamaMacbeth regression

Re: Number of years since the first observation was found in a geograp...

Number of years since the first observation was found in a geographica...