I am using panel data, where my dataset includes 4 different target firm characteristics and the dependent variable is a dummy that equals 1 in case an investment fund has taken a 1% stake in the target firm. I have 15 years of data on approximately 8000 firms. My version of Stata is 14.0.
Instead of using a dummy based on the cumulative ownership of or a group of investment funds (e.g. ESG funds) I want to use an ordered probit that is capturing not only whether an investment fund invest (or invest at the level of a particular stake) but how many funds invest.
Example: dummy about whether there is an investment (probit) could be substituted by an ordered probit about how many funds invest: by no fund, by 1 fund, by 2 funds, by 3 funds, by 4 funds etc. (so the yvar = 0, 1, 2, 3, 4, 5, 6 …) (or one could group this: y-var = no funds, 1 or 2 funds, 3 or more funds)
Example: dummy about whether there is an investment >1% (probit) could be substituted by an ordered probit: is there an investment of >0.5% by no fund, by 1 fund, by 2 funds, by 3 funds, by 4 funds etc. (or grouped).
Enclosed you will find my dataset:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input str48 Name int Year double(MCap DivYield Leverage ROA Fund1 Fund2 Fund3 Fund4 Fund5) float Ownership byte Dum1Own "ABU DHABI COML.BANK" 2015 10709.74 4.2700000000000005 199.86 . .0719 0 0 0 .0028 .0747 0 "ABU DHABI COML.BANK" 2016 10039.44 6.07 181.43 2.5300000000000002 .0328 0 0 0 .0095 .0423 0 "ABU DHABI COML.BANK" 2017 10511.95 6.5200000000000005 207.15 2.0300000000000002 .0353 0 0 0 .008 .0433 0 "ABU DHABI COML.BANK" 2018 9624.210000000001 5.88 185.07 2.05 .0476 0 0 0 .0086 .0562 0 "ALDAR PROPERTIES" 2015 5672.71 2.64 50.730000000000004 6.36 .2392 0 0 0 .0051 .2443 0 "ALDAR PROPERTIES" 2016 4966.3 3.88 29.73 7.43 .1768 0 0 0 .0105 .1873 0 "ALDAR PROPERTIES" 2017 5630.03 3.8000000000000003 25.43 8.41 .5138 0 0 0 .0094 .52320004 0 "ALDAR PROPERTIES" 2018 4709.68 5 25.87 6.24 .6156 0 0 0 .0094 .625 0 "DUBAI ISLAMIC BANK" 2015 7427.37 3.62 88.78 . .3426 0 0 0 .004 .3466 0 "DUBAI ISLAMIC BANK" 2016 6652.35 6.47 135.62 . .5827 0 0 0 .0072 .5899 0 "DUBAI ISLAMIC BANK" 2017 7494.83 8.08 150.37 . .1874 0 0 0 .0058 .1932 0 "DUBAI ISLAMIC BANK" 2018 8329.34 7.2700000000000005 169.47 . .1582 0 0 0 .0058 .164 0 "DUBAI INVESTMENT" 2018 2790.06 4.74 26.830000000000002 6.5600000000000005 .3469 0 0 0 0 .3469 0 "DUBAI FINANCIAL MARKET" 2015 4377.87 2.49 .28 8.790000000000001 0 0 0 0 0 0 0 "DUBAI FINANCIAL MARKET" 2016 2679 5.69 .3 2.99 0 0 0 0 0 0 0 "DUBAI FINANCIAL MARKET" 2017 2722.62 4 .32 2.93 0 0 0 0 0 0 0 "DUBAI FINANCIAL MARKET" 2018 2439.55 0 .33 2.56 0 0 0 0 0 0 0 "DXB ENTERTAINMENTS" 2017 2831.5 0 43.300000000000004 -4.45 .7659 0 0 0 0 .7659 0 "DXB ENTERTAINMENTS" 2018 1383.1200000000001 0 67.49 -6.890000000000001 1.081 0 0 0 .0086 1.0896 1 "DP WORLD" 2009 6474 3.41 84.24 4.88 0 0 0 0 0 0 0 "DP WORLD" 2010 7138 11.56 110.21000000000001 3.74 0 0 0 0 0 0 0 "DP WORLD" 2011 10458 1.3 101.18 3.61 .1264 0 0 0 0 .1264 0 "DP WORLD" 2012 8042.7 1.78 103.84 5.44 .0392 0 0 0 0 .0392 0 "DP WORLD" 2013 9711 2.05 58.92 6.25 .1182 0 0 0 0 .1182 0 "DP WORLD" 2014 14699.29 1.36 58.93 5.65 0 0 0 0 0 0 0 "DP WORLD" 2015 17430 1.1 68.9 5.73 0 0 0 0 .002 .002 0 "DP WORLD" 2016 16849 1.16 87.49 6.46 0 0 0 0 .0059 .0059 0 "DP WORLD" 2017 14533.29 1.71 86.59 6.66 .1062 0 0 0 .0046 .1108 0 "DP WORLD" 2018 20750 1.52 71.56 7.0200000000000005 .1128 0 0 0 .0046 .1174 0 "EMAAR PROPERTIES" 2015 14151.77 1.6600000000000001 37.42 5.47 .5104 0 0 0 .0036 .514 0 "EMAAR PROPERTIES" 2016 11091.42 2.64 34.83 5.94 .5781 0 0 0 .0144 .59250003 0 "EMAAR PROPERTIES" 2017 13898.7 2.1 42.31 6.63 .5664 0 0 0 .01 .5764 0 "EMAAR PROPERTIES" 2018 13528.75 2.16 43.96 6.16 .5108 0 0 0 .0102 .521 0 "EMIRATES TELECOM." 2009 16192.380000000001 5.04 9.5 15.85 0 0 0 0 0 0 0 "EMIRATES TELECOM." 2010 21514.93 5.45 12.870000000000001 13.75 0 0 0 0 0 0 0 "EMIRATES TELECOM." 2011 23246.33 5.5600000000000005 17.150000000000002 10.8 0 0 0 0 0 0 0 "EMIRATES TELECOM." 2012 19652.010000000002 6.57 17.29 8.67 0 0 0 0 0 0 0 "EMIRATES TELECOM." 2013 19522.88 6.62 14.280000000000001 9.27 0 0 0 0 0 0 0 "EMIRATES TELECOM." 2014 25184.28 6.84 14.5 8.84 0 0 0 0 0 0 0 "EMIRATES TELECOM." 2015 23569.78 6.390000000000001 52.64 9.73 0 0 0 0 0 0 0 "EMIRATES TELECOM." 2016 38120.69 4.46 50.81 7.3 0 0 0 0 0 0 0 "EMIRATES TELECOM." 2017 44514.61 4.26 52.2 7.8 0 0 0 0 .0044 .0044 0 "EMIRATES TELECOM." 2018 41437.74 4.57 56.11 7.42 0 0 0 0 .0044 .0044 0 "EMIRATES NBD" 2016 11197.22 5.41 153.9 . .015 0 0 0 0 .015 0 "EMIRATES NBD" 2017 12846.83 4.71 167.75 . .0276 0 0 0 0 .0276 0 "EMIRATES NBD" 2018 12408.4 4.88 152.58 . .0935 0 0 0 0 .0935 0 "EMAAR MALLS GROUP ORD" 2015 9495.83 0 52.74 9.97 .1318 0 0 0 0 .1318 0 "EMAAR MALLS GROUP ORD" 2016 9779.300000000001 0 47.18 8.17 0 0 0 0 .004 .004 0 "EMAAR MALLS GROUP ORD" 2017 9283.45 3.8200000000000003 45.550000000000004 . 0 0 0 0 .0035 .0035 0 "EMAAR MALLS GROUP ORD" 2018 7547.47 4.69 44.68 9.120000000000001 .0201 0 0 0 .0035 .0236 0 "FIRST GULF BANK DEAD - DELIST.02/04/17" 2015 18050.54 4.5200000000000005 107.84 2.82 0 0 0 0 0 0 0 "FIRST GULF BANK DEAD - DELIST.02/04/17" 2016 15498.18 6.8500000000000005 140.52 2.79 0 0 0 0 0 0 0 "FIRST GULF BANK DEAD - DELIST.02/04/17" 2017 15743.56 7.78 171.58 2.59 0 0 0 0 0 0 0 "FIRST ABU DHABI BANK" 2015 18051.65 2.6 226.44 1.87 .0852 0 0 0 .0016 .0868 0 "FIRST ABU DHABI BANK" 2016 11290.9 4.57 296.95 1.45 .0277 0 0 0 .0033 .031 0 "FIRST ABU DHABI BANK" 2017 14291.83 4 256.53000000000003 1.3900000000000001 .0887 0 0 0 .003 .0917 0 "FIRST ABU DHABI BANK" 2018 30412.58 4.39 160.47 1.86 .098 0 0 0 .003 .101 0 "STRABAG SE" 2009 2567.21 3.4 60.06 2.7 .3778 0 0 0 0 .3778 0 "STRABAG SE" 2010 3385.63 2.66 51.01 2.43 .5453 0 0 0 .0007 .546 0 "STRABAG SE" 2011 3135.15 2.44 50.29 2.42 .5547 0 0 0 0 .5547 0 "STRABAG SE" 2012 3272.01 2.49 58.78 2.61 .664 0 0 0 .0059 .6699 0 "STRABAG SE" 2013 3069.92 2.94 57.660000000000004 1.36 .6621 0 0 0 .0014 .6635 0 "STRABAG SE" 2014 3349.2000000000003 .9400000000000001 59.06 1.81 .7925 0 0 0 0 .7925 0 "STRABAG SE" 2015 2507.17 2.48 55.81 1.8 .7995 0 0 0 0 .7995 0 "STRABAG SE" 2016 2919.58 2.12 51.980000000000004 2.09 .849 0 0 0 0 .849 0 "STRABAG SE" 2017 3904.15 1.93 44.76 3.17 .8652 0 0 0 0 .8652 0 "STRABAG SE" 2018 4494.84 2.79 38.39 3.19 .7572 0 0 0 0 .7572 0 "FLUGHAFEN WIEN" 2009 926.84 7.87 78.38 6.17 .6207 0 0 0 1.6708 2.2915 1 "FLUGHAFEN WIEN" 2010 1048.49 7.47 85.87 4.5200000000000005 .9192 0 0 0 1.6832 2.6024 1 "FLUGHAFEN WIEN" 2011 1443.25 4.1 96.55 4.36 .9992 0 0 0 0 .9992 1 "FLUGHAFEN WIEN" 2012 797.25 6.84 111.11 1.98 .9944 0 0 0 2.0615 3.0559 1 "FLUGHAFEN WIEN" 2013 1190.28 2.33 93.68 4.34 .9865 0 0 0 1.812 2.7985 1 "FLUGHAFEN WIEN" 2014 1765.22 1.72 71.69 4.63 1.596 0 0 0 1.8026 3.3986 1 "FLUGHAFEN WIEN" 2015 1952.0900000000001 1.69 51.72 5.25 1.8364 0 0 0 1.7225 3.5589 1 "FLUGHAFEN WIEN" 2016 1998.43 1.8800000000000001 48.21 6.18 .8884 0 0 0 .1188 1.0072 1 "FLUGHAFEN WIEN" 2017 2073.2200000000003 2.14 43.39 5.68 .6862 0 0 0 0 .6862 0 "RAIFFEISEN BANK INTL." 2009 4149.53 4.82 559.25 1.49 .4 0 0 0 0 .4 0 "RAIFFEISEN BANK INTL." 2010 8765.18 2.35 464.72 .48 .496 0 0 0 0 .496 0 "RAIFFEISEN BANK INTL." 2011 10753.28 .49 792.83 1.77 .3618 0 0 0 0 .3618 0 "RAIFFEISEN BANK INTL." 2012 5092.34 5.23 774.86 1.1300000000000001 .6583 0 0 0 .0007 .659 0 "RAIFFEISEN BANK INTL." 2013 8107.900000000001 3.34 619.48 .86 .7271 0 0 0 .0007 .7278 0 "RAIFFEISEN BANK INTL." 2014 6902.17 4.57 620.21 .42 .8298 0 0 0 .0019 .8317 0 "RAIFFEISEN BANK INTL." 2015 4443.92 8.14 476.31 -.03 1.0245 0 0 0 .0054 1.0299 1 "RAIFFEISEN BANK INTL." 2016 4330.12 0 351.92 .52 1.209 0 0 0 .0091 1.2181 1 "RAIFFEISEN BANK INTL." 2017 5370.76 0 273.56 .59 1.4065 0 0 0 .0074 1.4139 1 "RAIFFEISEN BANK INTL." 2018 11928.39 0 328.16 1.12 1.1963 0 0 0 .0122 1.2085 1 "CA IM.ANLAGEN" 2018 3061.66 2.52 73.09 5.49 2.3597 0 0 0 .0078 2.3675 1 "ERSTE GROUP BANK" 2009 7138.9400000000005 4.63 881.32 1.01 .9704 0 0 0 0 .9704 0 "ERSTE GROUP BANK" 2010 14115.54 2.49 566.82 .96 1.076 0 0 0 .0035 1.0795 1 "ERSTE GROUP BANK" 2011 17827.72 1.85 484.37 .96 .9213 0 0 0 0 .9213 0 "ERSTE GROUP BANK" 2012 6891.26 0 587.0600000000001 .27 1.4358 0 0 0 .002 1.4378 1 "ERSTE GROUP BANK" 2013 12498.19 0 509.76 .65 2.1098 0 0 0 .0015 2.1113 1 "ERSTE GROUP BANK" 2014 15002.04 1.58 445.45 -.01 2.6171 0 0 0 .0054 2.6225 1 "ERSTE GROUP BANK" 2015 10003.77 1.04 472.57 .12 3.5747 0 0 0 .0105 3.5852 1 "ERSTE GROUP BANK" 2016 13498.31 0 402.32 .49 3.1594 0 0 0 .0117 3.1711 1 "ERSTE GROUP BANK" 2017 12613.95 1.8 355.06 1.17 3.5859 0 0 0 .0117 3.5976 1 "ERSTE GROUP BANK" 2018 18633.43 2.77 337.8 1.07 1.8413 0 0 0 .0196 1.8609 1 "TELEKOM AUSTRIA" 2009 6586.2300000000005 7.28 179 1.9100000000000001 .9186 0 0 0 0 .9186 0 "TELEKOM AUSTRIA" 2010 6323.99 7.54 253.87 3.2 3.0295 0 0 0 0 3.0295 1 "TELEKOM AUSTRIA" 2011 6252 7.13 244.02 4.18 2.7072 0 0 0 0 2.7072 1 end
Thanks in advance for any thoughts!
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