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