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Category Archives: Stata
Stata command to calculate the area under ROC curve
If we want to evaluate the predictive ability of a logit or probit model, Kim and Skinner (2012, JAE, Measuring securities litigation risk) suggest that A better way of comparing the predictive ability of different models is to use the Receiver … Continue reading
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Stata commands to calculate skewness
Suppose we are going to calculate the skewness of 12 monthly returns. The 12 returns may be stored in a row (Figure 1) or in a column (Figure 2). This post discusses how to calculate the skewness in these two … Continue reading
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Commonly used Stata commands to deal with potential outliers
In accounting archival research, we often take it for granted that we must do something to deal with potential outliers before we run a regression. The commonly used methods are: truncate, winsorize, studentized residuals, and Cook’s distance. I discuss in … Continue reading
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Sample code for “outreg” command in Stata
outreg is very powerful and timesaving command in Stata. The following code generates a readyforuse results table:
1 2 3 4 5 
outreg, stats(b p) sdec(3) /// summstat(r2_a \ N) summdec(3,0) summtitles("Adjusted R2" \ "N") /// starlevels(10 5 1) starloc(1) /// ctitles("", "Heading" \ "", "Subheading") /// keep(_cons x1 x2 x3 x4) 
Please change x1, x2, x3 and x4 to variables that you want to report.
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A loop of crosssectional regressions for calculating abnormal accruals in Stata
I write a loop of crosssectional regressions for calculating abnormal accruals. This program can be easily modified and replaced with Jones, modified Jones, or Dechow and Dichev model. I add detailed comments in the program to help you prepare the input … Continue reading
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Rollingwindow computation in SAS and Stata
SASers often find proc expand plus transformout very useful for rollingwindow (or movingwindow) computation. Stataers may wonder if there is a counter party in Stata. The answer is “yes”. The command in Stata is rolling. See the manual below: http://www.stata.com/manuals13/tsrolling.pdf The … Continue reading
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Regression with a large dummyvariable set (e.g., firm and year fixed effects) in Stata
I run a regression in Stata with a Compustat dataset that contains fyear and gvkey. I want to add firm and year fixed effects, so I type the following command: regress DV IV i.fyear i.gvkey But Stata returns the error … Continue reading
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Handy Stata command to create FamaFrench industry classifications based on SIC codes
See ffind written by Judson Caskey. Here is his website: https://sites.google.com/site/judsoncaskey/data The syntax is as follows (download Help file here): ffind sic, newvar(ffi) type(30) type(30) means Fama_French 30 industries classification. Type must be 5, 10, 12, 17, 30, 38, 48 or … Continue reading
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Fuzzy match in Stata
Nice article. http://ebpprojects.isr.umich.edu/NCRN/papers/wasi_flaaen_statarecordlinkageutilities.pdf Author’s website: http://wwwpersonal.umich.edu/~nwasi/programs.html For installation, type the following command in Stata: net from http://wwwpersonal.umich.edu/~nwasi/programs net install stnd_compname.pkg
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Calculate CFO tenure with Execucomp in Stata
Nice article and nice blog! Happy to find that someone built a similar blog. https://robsonglasscock.wordpress.com/2014/04/01/determiningcfotenurewithexecucompdata/