Stata

My Stata .ado files (and templates for starting a new Stata project).

event_study

Converts WRDS event study output to CARs.

fm

Returns Fama-MacBeth (1973) time-series average coefficients with Newey-West (1987) standard errors based. First-stage estimator can be regress, logit, logistic, probit, or tobit, but the code is easily modifiable to new estimators. Compatible with estout.

Examples

fm y x1 x2, lag(4)

fm d x1 x2, estimator(logit)

fm y x1 x2, estimator(tobit) options(ll(0) ul(1))

Tasks

• help file
• examples
• standard output, like regress
• all-in-one solution (takes 1st stage regression as a string)

log_transform

Log transform variable with variable label. Option to add arbitrary constant.

Examples

sysuse auto, clear
log_transform price
log_transform weight, add(1)

Tasks

• help file
• examples

peek

Peek at head and tail of not-in-memory data.

Examples

sysuse auto, clear
save auto, replace
peek using auto
peek price weight using auto

Tasks

• help file
• examples

rolling_beta

Quickly calculate rolling univariate regressions.

Examples

webuse grunfeld, clear
rolling_beta mvalue kstock, short(3) long(5)

Tasks

• help file
• examples
• options for minimum # of observations

rolling_rho

Quickly perform rolling correlations.

Examples

webuse grunfeld, clear
rolling_rho mvalue kstock, short(3) long(5)

Tasks

• help file
• examples
• options for minimum # of observations

rolling_sigma

Quickly perform rolling standard deviations.

Examples

webuse grunfeld, clear
rolling_sigma mvalue kstock, short(3) long(5)

Tasks

• help file
• examples
• options for minimum # of observations

time_transform

Easy leads, lags, and differences with variable labels.

Examples

webuse grunfeld, clear
time_transform mvalue kstock, operators("S1" "L1" "L2")
time_transform invest, o("L2")

Tasks

• help file
• examples
• options for minimum # of observations

WRDS

Simple .ado file wrapper for simple .py script to download data from WRDS. Save data as either .dta or .csv file. See https://github.com/wharton/wrds for more information on .py script.

Examples

TBD.

Tasks

• help file
• examples