Hello,
I have got the following problem:
I am trying to sort my variable into five quintiles and within each quintile I sort another variable into five more quintiles. This results in 5x5 portfolios.
This is the dataset:

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input float(lRsqu alphatl)
       .          .
.8492597  -.6673416
.8437587 -2.3389862
.8452843  .30016315
.8601297   .3724269
.8691546   .6786571
.8841668  2.2653832
.8876752 -2.2238657
.8821524  .55729717
.9283358    2.06477
.9538744 -3.1534085
.9451784  2.8826375
.9375255   3.282628
.9333589 -1.5626493
.9386432 -2.5049946
  .93699  2.0213053
.9399988  2.2347538
 .943158  -2.518438
.9339849  2.5404644
.9373132   .3698889
.9379639   1.414377
.9389971 -1.9083146
.9385521   1.230852
.9404954  -.7030577
.9416158   -.165016
.9440844  .12624428
.9433135  -.2099296
.9453504  -.9947472
.9473855 -1.3289968
.9482979  -2.582619
 .945869  1.3279735
.9477227  1.1662924
.9470893   2.806799
 .951561  1.9293336
.9452592   1.507581
.9410356  -1.888088
       .          .
  .84052 -4.5013776
.7640013  -1.230109
       .          .
.7953995   -1.84165
 .763701 -2.5651925
       .          .
.8122256   3.357514
.9708027  -.6237252
.9633558  -2.976884
.9508489  -1.888965
.9571319  -1.902355
.9628463   .8699767
.9585466  -.3966509
.9598147  -2.914656
.9601157  -2.044562
.9610327  -9.798227
.9082741  4.1743417
.9240623   .8981467
.9242032  4.6243277
.9056889  1.9300214
.9081386 -.04775813
.9095054   .7978305
.9122971  3.5095186
.9035737  -1.811179
.8933021   .5289839
       .          .
.9745287  -1.908935
.9745261   2.902449
.9532403 -1.4459622
.9426749  -3.514782
.9116024 -.12026531
.9143506   .3338297
.9144306   1.766378
.9275297  .05470944
.9279215  -.4787422
.9285604 -2.0074744
.9067073  3.1798935
.8383521  1.9512254
 .817727  -.1964305
.8458316   1.281453
.8398812  1.4092634
.8375641  -.8212233
.8471023  -.5335991
.8469019  1.2763717
.8445817  2.0106041
.8301534   .2856706
.8491577   .8858739
.8496809   -.438701
.8459197   .7877609
.8365584   1.344182
.8241314  -1.490751
.8412024    .894092
 .852065   1.639639
.8442533   .8743293
.8544524 -.26318347
.8795037 .030096546
 .882191  -1.814595
.8709548  -.4207301
.8442778  1.1605158
  .84082  -.9981863
.8395051 -.12342247
.8713467  -.6070057
.8986678 -1.0313703
end
I have already tried the following command
Code:
by calmt, sort: egen quantileRsqu = xtile(lRsqu), n(5)
by calmt quantileRsqu, sort: egen quantileA =xtile(alphatl), n(5)
I'm not really sure how this command works and if the results are correct.
Thanks in advance