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cnevent: Event study with Chinese equity market data cnevent：利用中国股票市场数据进行事件研究
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276112
Chuntao Li, Yizhuo Fang, Lifang Cao
{"title":"cnevent: Event study with Chinese equity market data","authors":"Chuntao Li, Yizhuo Fang, Lifang Cao","doi":"10.1177/1536867x241276112","DOIUrl":"https://doi.org/10.1177/1536867x241276112","url":null,"abstract":"In this article, we present a new command, cnevent, that runs event studies about Chinese-listed companies. With cnevent, researchers are required to provide only a list of events with the Chinese stock code and the corresponding date for each event, and the command can automatically extract indexes and each individual stock’s return data to run the whole process of the event study. Furthermore, cnevent enables users to choose the benchmark from among different market indexes and different event window sets with options. The command then generates daily abnormal returns for all trading days within the event window and aggregates the cumulative abnormal returns (CARs) for the whole event window. Finally, cnevent can plot a graph to show the trend of the CAR<jats:sub>t</jats:sub> within the event window and test whether the event has a significant effect on valuation.","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192346","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Software Updates 软件更新
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276117
{"title":"Software Updates","authors":"","doi":"10.1177/1536867x241276117","DOIUrl":"https://doi.org/10.1177/1536867x241276117","url":null,"abstract":"","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"6 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192342","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stata tip 156: Concentration and diversity measures using egen Stata 技巧 156：使用 egen 测量浓度和多样性
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276115
Nicholas J. Cox
{"title":"Stata tip 156: Concentration and diversity measures using egen","authors":"Nicholas J. Cox","doi":"10.1177/1536867x241276115","DOIUrl":"https://doi.org/10.1177/1536867x241276115","url":null,"abstract":"","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"48 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192383","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fitting spatial stochastic frontier models in Stata 在 Stata 中拟合空间随机前沿模型
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276109
Kerui Du, Luis Orea, Inmaculada C. Álvarez
{"title":"Fitting spatial stochastic frontier models in Stata","authors":"Kerui Du, Luis Orea, Inmaculada C. Álvarez","doi":"10.1177/1536867x241276109","DOIUrl":"https://doi.org/10.1177/1536867x241276109","url":null,"abstract":"In this article, we introduce a new command, xtsfsp, for fitting spatial stochastic frontier models in Stata. Over the last decades, stochastic frontier models have seen important theoretical progress via the incorporation of various types of spatial components. Models that can account for spatial dependence and spillovers have been developed for efficiency and productivity analysis, drawing extensive attention from industry and academia. Because of the unavailability of the statistical packages, the empirical applications of the new stochastic frontier models appear to be lagging. The xtsfsp command provides a procedure for fitting spatial stochastic frontier models in the style of Orea and Álvarez (2019, Journal of Econometrics 213: 556-577) and Galli (2023, Spatial Economic Analysis 18: 239-258), enabling users to handle different sources of spatial dependence. In this article, we introduce spatial stochastic frontier models, describing the syntax and options of the new command and providing several examples to illustrate its usage.","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"35 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192344","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
miesize: Effect-size calculation in imputed data miesize：估算数据中的效应大小计算
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276113
Paul A. Tiffin
{"title":"miesize: Effect-size calculation in imputed data","authors":"Paul A. Tiffin","doi":"10.1177/1536867x241276113","DOIUrl":"https://doi.org/10.1177/1536867x241276113","url":null,"abstract":"In this article, I describe the miesize command for the calculation of effect sizes in imputed data. There may be situations where an effect size needs to be estimated for an intervention, an exposure, or a group membership variable but data on the independent or dependent variable are missing. Such missing data are commonly dealt with by multiply imputing plausible values. However, in this circumstance, the estimated effect size and associated standard errors will need to be pooled and estimated from the imputed dataset. The miesize command automates this process and calculates effect sizes for a binary variable from multiply imputed data in wide format. The estimates and standard errors (used to calculate the confidence intervals) are recombined using Rubin’s (1987, Multiple Imputation for Nonresponse in Surveys [Wiley]) rules. These rules are applied such that the average point estimate for the effect size is calculated from the imputed datasets. The pooled standard error, and hence confidence intervals, is calculated to account for both the variance between the imputed datasets and the variance within them. Pooled effect sizes and confidence intervals for Cohen’s (1988, Statistical Power Analysis for the Behavioral Sciences, 2nd ed. [Lawrence Erlbaum]) d, Hedges’s (1981, Journal of Educational Statistics 6: 107-128) g, and Glass’s ( Smith and Glass, 1977 , American Psychologist 32: 752-760) delta are provided by miesize.","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192347","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Speaking Stata: Quantile–quantile plots, generalized 说说 Stata：广义定量-定量图
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276114
Nicholas J. Cox
{"title":"Speaking Stata: Quantile–quantile plots, generalized","authors":"Nicholas J. Cox","doi":"10.1177/1536867x241276114","DOIUrl":"https://doi.org/10.1177/1536867x241276114","url":null,"abstract":"Quantile-quantile plots in the precise sense of scatterplots showing corresponding quantiles of two variables have long been supported by official command qqplot. That command is generalized here in several ways in a new command, qqplotg. In this article, I explain the major features of qqplotg and give several examples of its use. Themes include the use of quantile-quantile plots to explore the possibilities for working on a transformed scale and the value of plotting difference between quantiles versus mean quantile or plotting position. Various historical and methodological remarks are sprinkled throughout.","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"44 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192381","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fitting garbage class mixed logit models in Stata 在 Stata 中拟合垃圾类混合 Logit 模型
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276110
Marcel F. Jonker
{"title":"Fitting garbage class mixed logit models in Stata","authors":"Marcel F. Jonker","doi":"10.1177/1536867x241276110","DOIUrl":"https://doi.org/10.1177/1536867x241276110","url":null,"abstract":"In this article, I describe the garbagejnixl command, which fits the garbage class and standard panel mixed logit models in Stata.","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192343","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Tests and confidence bands for multiple one-sided comparisons 多重单侧比较的检验和置信区间
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276111
David M. Drukker, Kevin S. S. Henning, Christian Raschke
{"title":"Tests and confidence bands for multiple one-sided comparisons","authors":"David M. Drukker, Kevin S. S. Henning, Christian Raschke","doi":"10.1177/1536867x241276111","DOIUrl":"https://doi.org/10.1177/1536867x241276111","url":null,"abstract":"One-sided inference should be used in some applications, but Stata has limited support for one-sided tests and confidence intervals for a single compari­son and almost no support for one-sided tests and confidence bands for multiple comparisons. In this article, we provide an introduction to one-sided tests and confidence intervals for a single hypothesis and to one-sided tests and confidence intervals for multiple comparisons. We also discuss extensions of the sotable com­mand introduced in Drukker (2023, Stata Journal 23: 518-544) to cover one-sided tests and confidence bands for a single comparison and for multiple comparisons. We also provide examples of how to use sotable to perform multiple tests against values other than zero and how to perform multiple tests after commands like margins and nlcom that support the post option.","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"64 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192401","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Stata tip 157: Adding extra lines to graphs Stata 技巧 157：为图表添加额外线条
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276116
Nicholas J. Cox
{"title":"Stata tip 157: Adding extra lines to graphs","authors":"Nicholas J. Cox","doi":"10.1177/1536867x241276116","DOIUrl":"https://doi.org/10.1177/1536867x241276116","url":null,"abstract":"","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"52 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192345","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Getting away from the cutoff in regression discontinuity designs 在回归不连续设计中摆脱截止点的影响
The Stata Journal: Promoting communications on statistics and Stata Pub Date : 2024-09-10 DOI: 10.1177/1536867x241276108
Filippo Palomba
{"title":"Getting away from the cutoff in regression discontinuity designs","authors":"Filippo Palomba","doi":"10.1177/1536867x241276108","DOIUrl":"https://doi.org/10.1177/1536867x241276108","url":null,"abstract":"Regression discontinuity (RD) designs are highly popular in economic research because of their strong internal validity and straightforward intuition. While RD estimates are local in nature, several recent articles propose methods that generalize RD estimates to units outside a small neighborhood of the cutoff. In this article, I introduce the getaway package, which implements the method proposed by Angrist and Rokkanen (2015, Journal of the American Statistical Association 110: 1331-1344) to extrapolate treatment-effect estimates “away from the cutoff”, relying on a classical unconfoundedness condition. Additionally, the package features a data-driven algorithm designed to identify a set of covariates that fulfills the unconfoundedness assumption. It also incorporates a toolkit intended for testing and visualization purposes.","PeriodicalId":501101,"journal":{"name":"The Stata Journal: Promoting communications on statistics and Stata","volume":"80 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142192341","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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