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 Stata commands to do Heckman two steps
 The calculation of average credit rating using ratings from three rating agencies
 Stata commands to test equality of mean and median
 Stata command to display combined Pearson and Spearman correlation matrix
 Stata command to convert string GVKEY to numerical GVKEY or vice versa
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Monthly Archives: September 2015
The impact of WRDS transition to the new WRDS Cloud server
WRDS has quietly started the transition from the old server to the new Cloud server. This move makes a lot of support documentation on the WRDS website outdated and misleading. That is why I think WRDS should direct its resources on continuously … Continue reading
Posted in Learning Resources, SAS
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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
Posted in Learning Resources, SAS, Stata
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SAS macro for event study and beta
There are two macros on the List of WRDS Research Macros: EVTSTUDY and BETA, which may be often used. I like the first one, written by Denys Glushkov. Denys’ codes are always elegant. I don’t like the second one because … Continue reading
Pipeline
These are some topics in my mind. I will write up when I have time. Use Python to remove boilerplate paragraph in firminitiated press releases Calculate earnings surprises Chow test and Vuong test Access to WRDS Propensity score matching macros … Continue reading
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Use Python to calculate the tone of financial articles
[Update on March 1, 2019] I completely rewrite the Python program. The updates include: I include two domainspecific dictionaries: Loughran and McDonald’s and Henry’s dictionaries, and you can choose which dictionary to use. I add negation check as suggested by … Continue reading
Posted in Python
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