Hello all,
I have an unbalanced panel data set on funds and their respective 3 Factor alphas for each year. Moreover, I have their market segments based on their Objective Codes and their Management name. I need to construct the segment rank of a fund by ordering all funds belonging to a specific market segment (crsp_obj_cd) in a given year according to the 3 Factor alpha and rank them with a normalized value from 0 to 1 (best fund). Also, I need to order funds belonging to a specific family (mgmt_id) and assign to them a normalized rank according to the specified Segment rank.
Lastly, I need to perform a piecewise linear regression by estimating the slope coefficients for the bottom quintile, the 3 middle and the top quintile of segment and family ranks. The variables are as follows:
LOW(FamRank)i,t−1=min(FamRanki,t−1, 0.2)
LOW(SegRank)i,t−1=min(SegRanki,t−1, 0.2)
MID(FamRank)i,t−1=min(FamRanki,t−1 − LOW(FamRank)i,t−1, 0.6)
MID(SegRank)i,t−1=min(SegRanki,t−1 − LOW(SegRank)i,t−1, 0.6)
TOP(FamRank)i,t−1=FamRanki,t−1 − (LOW(FamRank)i,t−1 +MID(FamRank)i,t−1)
TOP(SegRank)i,t−1=SegRanki,t−1 − (LOW(SegRank)i,t−1 +MID(SegRank)i,t−1).
Any help is highly appreciated.
A sample of my dataset is given below:
Array
Related Posts with Slope coefficients for different quintiles of ranks
Difference-in-differences or something else? Regrouping after an intervening event.I'm a master's student working on a project for my econometrics class and I could use some advice. I…
converting OR into RRHello, I am running a propensity score analysis where imbalanced covariates are adjusted for using …
bootstrap for internal validation: how can we get the bootstrap estimated AUC with a multiply imputed data?Dear Statalist, I wish to get the apparent AUC of bootstrap internal validation in a multiple impute…
Saving each coefficient in every bootstrapping reps in different fileDear Prof. Clyde Schechter, I am currently using 2sls bootstrapping for my paper. I have problem in…
Dummies time fixed effectsHello, I have a dataset with several countries and quarterly values. i' m running the following regr…
Subscribe to:
Post Comments (Atom)
0 Response to Slope coefficients for different quintiles of ranks
Post a Comment