前情回顾数据来源清洗数据cd C:\Download
u Fundamentals_Annual, clear
keep if regexm(DATADATE,"-12-31")
duplicates drop GVKEY FYEAR, force
g year = FYEAR
xtset GVKEY year
g lat = L.AT
drop if mi(lat)
foreach v of var OANCF COGS INVCH XAD XRD XSGA SALEPFC SALEPFP {
replace `v' = 0 if mi(`v')
}
g one = 1
g cfo = OANCF
g prod = COGS + (-INVCH)
g disx = XAD + XRD + XSGA
g sales = SALEPFC
g lsales = SALEPFP
g dsales = SALEPFC - SALEPFP
g ldsales = l.dsales
foreach v of var one-ldsales{
g `v'_lat = `v'/lat
replace `v'_lat = 0 if mi(`v'_lat)
}
keep GV y *_lat SIC
tostring SIC, gen(i)
replace i = substr(i,1,2)
destring i, replace
asreg cfo one sales dsales, by(y i) fit noc
ren _r abcfo
drop _*
asreg prod one sales dsales ldsales, by(y i) fit noc
ren _r abprod
drop _*
asreg disx one lsales, by(y i) fit noc
ren _r abdisx
drop _*
g r1 = -1*abdisx + abprod
g r2 = -1*abdisx - 1*abcfo
winsor r1, gen(REM1) p(.01)
winsor r2, gen(REM2) p(.01)
keep R* GV y
la var REM1 "美国企业
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