Code:
xtset mdate stock_id capture program drop one_regression program define one_regression regress rt mkt mkt2 predict resid, resid summ resid, detail gen double skewness = r(skewness) gen obs = r(N) gen double mean = r(mean) end bysort stock_id mdate (date): gen high = cond(_n==1., mdate, -11) rangerun one_regression, by(stock_id) interval(mdate -11 0) collapse(mean) mdate reg_nobs stock_id b_mkt2 , by (stock year month) order stock year month mdate reg_nobs stock_id b_mkt2 replace b_mkt2 =. if reg_nobs<200
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float stock_id str52 stock float(date mdate) byte month int year float(rt mkt mkt2) 1 "3M India Ltd." 15886 521 6 2003 .009533716 .007865 .0000619 1 "3M India Ltd." 15883 521 6 2003 -.012074256 .009992 .0000998 1 "3M India Ltd." 15882 521 6 2003 .011034168 .003893 .0000152 1 "3M India Ltd." 15881 521 6 2003 -.013975303 .016005 .000256166 1 "3M India Ltd." 15880 521 6 2003 -.003102842 .002033 4.13e-06 1 "3M India Ltd." 15879 521 6 2003 .004186865 -.013336 .000177845 1 "3M India Ltd." 15876 521 6 2003 .004656811 .008685 .0000754 1 "3M India Ltd." 15875 521 6 2003 .001214485 .006526 .0000426 1 "3M India Ltd." 15874 521 6 2003 .031898383 .006009 .0000361 1 "3M India Ltd." 15873 521 6 2003 -.007203266 .021803 .000475352 1 "3M India Ltd." 15872 521 6 2003 -.004266642 -.001889 3.57e-06 1 "3M India Ltd." 15869 521 6 2003 -.01446385 .00344 .0000118 1 "3M India Ltd." 15868 521 6 2003 -.007322823 .010436 .000108913 1 "3M India Ltd." 15867 521 6 2003 .019095726 .008985 .0000807 1 "3M India Ltd." 15866 521 6 2003 -.02163825 -.018968 .000359791 1 "3M India Ltd." 15865 521 6 2003 .09973572 .006161 .000038 1 "3M India Ltd." 15862 521 6 2003 -.017246207 .006592 .0000435 1 "3M India Ltd." 15861 521 6 2003 .004897146 .000296 8.74e-08 1 "3M India Ltd." 15860 521 6 2003 -.006100614 .014723 .000216768 1 "3M India Ltd." 15859 521 6 2003 -.031379614 .001928 3.72e-06 1 "3M India Ltd." 15858 521 6 2003 .0157434 .0028 7.84e-06 1 "3M India Ltd." 15855 520 5 2003 .015344273 .016388 .000268563 1 "3M India Ltd." 15854 520 5 2003 -.007012919 .009597 .0000921 1 "3M India Ltd." 15853 520 5 2003 -.005384392 .010709 .000114693 1 "3M India Ltd." 15852 520 5 2003 -.03143467 -.00696 .0000484 1 "3M India Ltd." 15851 520 5 2003 .009376593 .019336 .000373887 1 "3M India Ltd." 15848 520 5 2003 .02838536 .009681 .0000937 1 "3M India Ltd." 15847 520 5 2003 .006974769 .003643 .0000133 1 "3M India Ltd." 15846 520 5 2003 .009649982 .003658 .0000134 1 "3M India Ltd." 15845 520 5 2003 .006767674 .012953 .000167783 1 "3M India Ltd." 15844 520 5 2003 .008480898 -.007435 .0000553 1 "3M India Ltd." 15841 520 5 2003 -.02464387 .015005 .000225152 1 "3M India Ltd." 15840 520 5 2003 .029448276 .013856 .000191978 1 "3M India Ltd." 15839 520 5 2003 -.010313845 .010457 .000109344 1 "3M India Ltd." 15838 520 5 2003 .015578233 .008679 .0000753 1 "3M India Ltd." 15837 520 5 2003 -.001125183 .007556 .0000571 1 "3M India Ltd." 15834 520 5 2003 -.008068571 -.001759 3.09e-06 1 "3M India Ltd." 15833 520 5 2003 .006875818 -.00786 .0000618 1 "3M India Ltd." 15832 520 5 2003 -.000124182 -.000197 3.88e-08 1 "3M India Ltd." 15831 520 5 2003 -.018608289 .006877 .0000473 1 "3M India Ltd." 15830 520 5 2003 .02503203 .012248 .00015002 1 "3M India Ltd." 15827 520 5 2003 .04601726 .007976 .0000636 1 "3M India Ltd." 15825 519 4 2003 .036240544 .004647 .0000216 1 "3M India Ltd." 15824 519 4 2003 .03760189 .000261 6.83e-08 1 "3M India Ltd." 15823 519 4 2003 .003653921 .006984 .0000488 1 "3M India Ltd." 15820 519 4 2003 -.017259795 -.004785 .0000229 1 "3M India Ltd." 15819 519 4 2003 -.033946905 -.002703 7.31e-06 1 "3M India Ltd." 15818 519 4 2003 .010775134 -.009299 .0000865 1 "3M India Ltd." 15817 519 4 2003 .06061496 -.002435 5.93e-06 1 "3M India Ltd." 15816 519 4 2003 .004707749 .008126 .000066 1 "3M India Ltd." 15812 519 4 2003 -.02267936 -.013345 .00017808 1 "3M India Ltd." 15811 519 4 2003 .016032182 .005756 .0000331 1 "3M India Ltd." 15810 519 4 2003 .06006362 .002192 4.81e-06 1 "3M India Ltd." 15806 519 4 2003 .02069287 -.007982 .0000637 1 "3M India Ltd." 15805 519 4 2003 -.05525858 -.033738 .001138256 1 "3M India Ltd." 15804 519 4 2003 -.02321739 -.009597 .0000921 1 "3M India Ltd." 15803 519 4 2003 .003712956 -.008123 .000066 1 "3M India Ltd." 15802 519 4 2003 .03585195 .015533 .000241275 1 "3M India Ltd." 15799 519 4 2003 .03719635 .009709 .0000943 1 "3M India Ltd." 15798 519 4 2003 .014588794 .010645 .000113306 1 "3M India Ltd." 15797 519 4 2003 .011566542 .013855 .000191964 1 "3M India Ltd." 15796 519 4 2003 -.02304087 .009605 .0000923 1 "3M India Ltd." 15795 518 3 2003 -.07255269 -.021219 .000450234 1 "3M India Ltd." 15792 518 3 2003 .03068691 -.001764 3.11e-06 1 "3M India Ltd." 15791 518 3 2003 .008472209 -.005611 .0000315 1 "3M India Ltd." 15790 518 3 2003 -.003758863 -.000948 8.98e-07 1 "3M India Ltd." 15789 518 3 2003 -.000158863 -.001227 1.51e-06 1 "3M India Ltd." 15788 518 3 2003 -.016294243 -.019509 .000380588 1 "3M India Ltd." 15786 518 3 2003 .005381303 .005288 .000028 1 "3M India Ltd." 15785 518 3 2003 -.013049488 .004289 .0000184 1 "3M India Ltd." 15784 518 3 2003 .023841137 .015823 .00025036 1 "3M India Ltd." 15783 518 3 2003 -.019766705 .006066 .0000368 1 "3M India Ltd." 15781 518 3 2003 . -.007097 .0000504 1 "3M India Ltd." 15777 518 3 2003 . -.001023 1.05e-06 1 "3M India Ltd." 15776 518 3 2003 -.00558522 -.009575 .0000917 1 "3M India Ltd." 15775 518 3 2003 -.01541847 .005431 .0000295 1 "3M India Ltd." 15774 518 3 2003 .007541014 -.009745 .000095 1 "3M India Ltd." 15771 518 3 2003 -.03000204 -.014516 .000210729 1 "3M India Ltd." 15770 518 3 2003 .02274947 -.011087 .000122929 1 "3M India Ltd." 15769 518 3 2003 -.013333968 -.005572 .0000311 1 "3M India Ltd." 15768 518 3 2003 .02991119 -.011461 .000131357 1 "3M India Ltd." 15767 518 3 2003 -.06965129 .000489 2.39e-07 1 "3M India Ltd." 15764 517 2 2003 -.004470147 .001888 3.56e-06 1 "3M India Ltd." 15763 517 2 2003 -.0729779 .008887 .000079 1 "3M India Ltd." 15762 517 2 2003 -.004800923 -.006453 .0000416 1 "3M India Ltd." 15761 517 2 2003 .002670975 -.011124 .000123735 1 "3M India Ltd." 15760 517 2 2003 -.010527073 .00276 7.62e-06 1 "3M India Ltd." 15757 517 2 2003 .012343297 .000805 6.48e-07 1 "3M India Ltd." 15756 517 2 2003 -.000156703 -.000028 7.77e-10 1 "3M India Ltd." 15755 517 2 2003 .006554706 .005188 .0000269 1 "3M India Ltd." 15754 517 2 2003 .023021424 .002122 4.50e-06 1 "3M India Ltd." 15753 517 2 2003 .003809609 .021327 .00045486 1 "3M India Ltd." 15750 517 2 2003 -.023386864 -.009117 .0000831 1 "3M India Ltd." 15748 517 2 2003 .00662512 -.00495 .0000245 1 "3M India Ltd." 15747 517 2 2003 .00925954 -.000978 9.56e-07 1 "3M India Ltd." 15746 517 2 2003 -.01114852 -.008573 .0000735 1 "3M India Ltd." 15743 517 2 2003 .006835646 -.006041 .0000365 1 "3M India Ltd." 15742 517 2 2003 -.00540445 .011588 .000134277 1 "3M India Ltd." 15741 517 2 2003 -.007051407 -.004897 .000024 1 "3M India Ltd." 15740 517 2 2003 .008163984 .000116 1.34e-08 end format %td date format %tm mdate
0 Response to Idiosyncratic Skewness
Post a Comment