21
Jun 13

Source code and data cleaning

My (new) Github repositories contain some code I have written and data I have cleaned.


13
Jun 13

Plot multiple kernel densities on one plot in Stata

If you want to compare kernel density estimates across years for a particular variable, putting each estimate on one graph will make it easy. The process is fairly straightforward in Stata (and even easier in Matlab…). First, we start with the simple ‘kdensity‘ command

kdensity income if year == 1990

Next, we append this command with the ‘addplot‘ function:

kdensity income if year == 1990, addplot(kdensity income if year == 1991)

and we can add even more with the ‘||’ syntax:

kdensity income if year == 1990, addplot(kdensity income if year == 1991 || kdensity income if year == 1992)

If we could use the ‘by’ option, this process would be much cleaner. Finally, we add a legend:

kdensity income if year == 1990, addplot(kdensity income if year == 1991 || kdensity income if year == 1992) legend(ring(0) pos(2) label(1 "1990") label(2 "1991") label(3 "1992"))


19
May 13

LateX files for top finance journals

Richard Stanton provides an excellent source of tex files (styles, bst, etc.) for major finance journals.

Some notes:

  • Inline \subsubsections for RFS can be done using
\usepackage{titlesec}

\titleformat{\subsection}[runin]
{\normalfont\large\bfseries}{\thesubsection}{1em}{}

04
Aug 12

Stata latex summary tables: a hack

The Stata package “eststo” has a nice set of commands to create summary statistics tables. These commands can create “fragments” that you can dynamically add to tables in a main tex document. Unfortunately, the output of the following example starts with an ‘\hline’ and doesn’t play well with latex:

eststo clear
eststo: estpost tabstat var1 var2 var3, listwise statistics(mean sd) columns(statistics)

Saving to a tex file:

esttab using "../writing/tables/summary.tex", main(mean) aux(sd) nostar unstack nonote nomtitle nonumber replace label fragment

creates a tex file that starts with ‘hline.’ When combined with a tabular environment with the ‘\input’ command (here \input{tables/summary.tex}) you will get a “Misplaced \noalign” error. I found a partial solution online with some changes.

1. Add \makeatletter followed by \newcommand*\ExpandableInput[1]{\@@input#1 } to your header

2.  Make sure the header also has \makeatother as well

3.  Replace the \input command with \ExpandableInput{tables/summary.tex}

4.  If you want to end the table with more ‘hline”s, put a line break after the above command ‘\\’

“Simple” as that….


18
May 12

Simple Bootstrap Sample in Matlab

Let x be your vector of data which has to be bootstrapped. For each instance of the loop write:

x = x(floor(rows(x)*rand(rows(x),1))+1,:); % bootstrap observations

Now we have a matrix with the same number of rows and columns, but with re-sampled data with replacement. A one line bootstrap! (Modified code from John Cochrane)


18
May 12

Using Remote Files in Matlab

If you have an FTP server set-up somewhere with ample space and bandwidth, Matlab can store and retrieve its files and data remotely. Just use these simple commands to connect and disconnect:

% File to connect to the server where my Matlab/data resides

% connect to the db
f = ftp(‘yourdomain.com’, ‘user’, ‘password’);

% change the directory
cd(f, ‘matlab’);

% now change the directory that we want to download the directory
cd ‘/’;

% Download the directory
mget(f, ‘remote_dir’);

% *****************
% INSERT PROGRAM HERE
% *****************

% when done move a directory here
cd ..
% now move the directory back to the server
mput(f, ‘remote_dir’);
disp(‘Files have been put back on the server’);

% close the connect
close(f);


12
Nov 11

Indicator function in Latex

Before \begin{document}

\usepackage{bbm}

and in the text:

\mathbbm{1}\{ Something \}

Source.


17
May 11

Simple R functions to keep or remove data frame columns

This function removes columns from a data frame by name:

removeCols <- function(data, cols){ return(data[,!names(data) %in% cols]) }

This function keeps columns of a data frame by name:

keepCols <- function(data, cols){
return(data[,names(data) %in% cols]) }

or just one function

colKeepRemove <- function(data, cols, remove=1){
if(remove == 1){ return(data[,!names(data) %in% cols]) }
else { return(data[,!names(data) %in% cols])  }}

 


04
Jan 11

Running sums in Stata

Perhaps it is bad that I didn’t know this before, but the following code for Stata would have saved a week off of my dissertation work.  Suppose that you have data structured like so:

firm_id,date,amount

and you want to create a new variable that is the total amount as of each date for each firm.  In Stata, you simply type:

sort firm_id date
bysort firm_id: gen total_t = sum(amount)

Note the use of ‘gen‘ rather than ‘egen.’ The ‘sum’ command differs by the type of generate command (i.e. gen or egen), so about 500 lines of loops written in Stata code could be condensed in a few lines.  Stata needs to fix the ‘egen’ and ‘gen’ distinction or I need to port more of my projects to R.


04
Jan 11

Latex regression and summary tables in Stata

A clean, well organized latex table is difficult to build. If you do a lot of analysis in Stata, there are several tools to output latex tables of your regressions or summary statistics. These packages do not always work perfectly with the standard options. Below I present two example code snippets to produce a latex table of a set of regressions that includes a IV estimator and a summary statistics table that compares two groups in a database. Each uses the eststo package.

Regression Table with Multiple Equations and Stages

Here I run a couple of limited dependent variable models and a two-stage bivariate probit with an IV. The output isn’t perfect, but it works for pre-submission distribution.

The output looks like this:

Latex regression output from eststo

Summary statistics with a by variable

Next, consider summarizing the characteristics of two groups in your data. For example, I want to compare the age, number of boards seats and other features of venture capital spinoff founders to everyone else.

The output will look like this:

Found

The full details of the esttab, estpost and eststo have many more options and a lot of examples.