This is a monthly dataset. Permno is an unique code for firms.
How to screen firms with at least 12 monthly observations?
And how to screen firms with at least 12 consecutive monthly observations?
Here is the example data:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double permno long date double(shrcd exchcd prc ret shrout) 10000 9496 . . . . . 10000 9527 10 3 -4.375 . 3680 10000 9555 10 3 -3.25 -.2571428716182709 3680 10000 9586 10 3 -4.4375 .36538460850715637 3680 10000 9616 10 3 -4 -.09859155118465424 3793 10000 9646 10 3 -3.109375 -.22265625 3793 10000 9677 10 3 -3.09375 -.005025125574320555 3793 10000 9708 10 3 -2.84375 -.08080808073282242 3793 10000 9737 10 3 -1.09375 -.6153846383094788 3793 10000 9769 10 3 -1.03125 -.05714285746216774 3793 10000 9800 10 3 -.78125 -.24242424964904785 3843 10000 9828 10 3 -.828125 .05999999865889549 3843 10000 9861 10 3 -.515625 -.37735849618911743 3843 10000 9891 10 3 -.40625 -.21212121844291687 3893 10000 9919 10 3 -.40625 0 3893 10000 9951 10 3 -.25 -.38461539149284363 3893 10000 9981 10 3 -.234375 -.0625 3893 10000 10010 10 3 -.21875 -.06666667014360428 3893 10000 10042 10 3 . . 3893 10001 9496 . . . . . 10001 9527 11 3 -6.125 . 985 10001 9555 11 3 -6.25 .020408162847161293 985 10001 9586 11 3 -6.3125 .025200003758072853 985 10001 9616 11 3 -6.375 .009900989942252636 985 10001 9646 11 3 -6.3125 -.009803921915590763 985 10001 9677 11 3 -6.125 -.013069307431578636 985 10001 9708 11 3 -6.0625 -.010204081423580647 985 10001 9737 11 3 -6.5 .07216494530439377 985 10001 9769 11 3 6.375 -.003076923545449972 991 10001 9800 11 3 6.625 .03921568766236305 991 10001 9828 11 3 7 .056603774428367615 991 10001 9861 11 3 7 .014999999664723873 991 10001 9891 11 3 6.75 -.0357142873108387 991 10001 9919 11 3 6.25 -.07407407462596893 991 10001 9951 11 3 6.375 .03680000081658363 991 10001 9981 11 3 -6.125 -.03921568766236305 991 10001 10010 11 3 -5.6875 -.0714285746216774 991 10001 10042 11 3 5.875 .051428571343421936 991 10001 10073 11 3 6 .021276595070958138 991 10001 10104 11 3 6.5 .0833333358168602 991 10001 10134 11 3 6.25 -.02230769209563732 992 10001 10164 11 3 6.375 .019999999552965164 992 10001 10195 11 3 6.1875 -.029411764815449715 992 10001 10226 11 3 5.875 -.03353535383939743 992 10001 10255 11 3 6.25 .06382978707551956 992 10001 10286 11 3 6.75 .07999999821186066 992 10001 10317 11 3 6.125 -.07629629969596863 992 10001 10346 11 3 -6.3125 .030612245202064514 992 10001 10378 11 3 -6.4375 .019801979884505272 992 10001 10408 11 3 6.25 -.01203883532434702 992 10001 10437 11 3 -6.4375 .029999999329447746 992 10001 10470 11 3 6.625 .029126213863492012 992 10001 10500 11 3 -6.375 -.021132076159119606 998 10001 10531 11 3 6.625 .03921568766236305 998 10001 10561 11 3 6.625 0 998 10001 10591 11 3 6.375 -.021132076159119606 998 10001 10623 11 3 6.5 .019607843831181526 998 10001 10651 11 3 6.75 .03846153989434242 998 10001 10682 11 3 6.75 .017777778208255768 998 10001 10710 11 3 7.25 .07407407462596893 998 10001 10743 11 3 7 -.03448275849223137 998 10001 10773 11 3 7 .017142856493592262 1001 10001 10804 11 3 7.25 .0357142873108387 1001 10001 10835 11 3 9.25 .27586206793785095 1001 10001 10864 11 3 8.875 -.027027027681469917 1019 10001 10896 11 3 9.5 .07042253762483597 1019 10001 10926 11 3 9.875 .03947368264198303 1019 10001 10955 11 3 10.125 .037974681705236435 1022 10001 10988 11 3 -9.9375 -.018518518656492233 1022 10001 11016 11 3 -9.875 -.006289307959377766 1022 10001 11046 11 3 -9.875 .012658228166401386 1027 10001 11077 11 3 -9.875 0 1027 10001 11108 11 3 9.75 -.012658228166401386 1027 10001 11137 11 3 9.75 .014102564193308353 1031 10001 11169 11 3 -10 .025641025975346565 1031 10001 11200 11 3 9.5 -.05000000074505806 1031 10001 11228 11 3 9.75 .04078947380185127 1044 10001 11261 11 3 -9.625 -.012820512987673283 1044 10001 11291 11 3 9.625 0 1044 10001 11322 11 3 -9.5 .00129870162345469 1054 10001 11353 11 3 9.625 .01315789483487606 1054 10001 11381 11 3 9.75 .012987012974917889 1054 10001 11409 11 3 9.5 -.011538460850715637 1054 10001 11442 11 3 -9.875 .03947368264198303 1054 10001 11473 11 3 -9.875 0 1054 10001 11501 11 3 10.5 .07848101109266281 1073 10001 11534 11 3 10.125 -.0357142873108387 1073 10001 11564 11 3 11.5 .1358024626970291 1073 10001 11595 11 3 11.5 .013043479062616825 1073 10001 11626 11 3 13 .1304347813129425 1073 10001 11655 11 3 14.75 .13461539149284363 1073 10001 11687 11 3 14.5 -.0067796604707837105 1075 10001 11718 11 3 13.75 -.0517241396009922 1075 10001 11746 11 3 11 -.20000000298023224 1075 10001 11778 11 3 11.75 .08181818574666977 1075 10001 11808 11 3 -11.875 .010638297535479069 1075 10001 11837 11 3 -12 .010526316240429878 1075 10001 11869 11 3 11.75 -.007708333432674408 1075 10001 11900 11 3 12.5 .06382978707551956 1075 10001 11931 11 3 13 .03999999910593033 1075 end format %d date
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