Hi everyone,
I'm running code using Mata, however, I don't understand why Mata do not generate the results for all of my observations.
In fact, as you can see in the data I provide below, the gls variable has only one observation whereas it should have 5 in total. I tried to do manually by Excel for year==2008, and I have the result (gls)
many thanks for your help!
Here is my code and a sub-sample:
I'm running code using Mata, however, I don't understand why Mata do not generate the results for all of my observations.
In fact, as you can see in the data I provide below, the gls variable has only one observation whereas it should have 5 in total. I tried to do manually by Excel for year==2008, and I have the result (gls)
many thanks for your help!
Here is my code and a sub-sample:
Code:
cap drop gls
gen gls=.
mata
mata clear
z=(1,1,.)
st_view(z,.,"gls price_ibes_w bveps_comp_w feps1_pos_w feps2_pos_w ltg_pos roe_ind_mov dpo_comp")
function w(x,p,b0,f1_,f2_,g,ii,dv) {
disc = (1+x)^(-10/12) //discount factor from month+10 to present
k = 1 - dv
f1=f1_ *disc
f2=f2_ *disc
f3=f2*(1+g)
tf3 = f1+f2+f3
b1=b0+f1*k
b2=b0+(f1+f2)*k
b3=b0+tf3*k
fr3 = f3/b2
con = (fr3-ii)/9
fr4=fr3-con
fr5=fr4-con
fr6=fr4-2*con
fr7=fr4-3*con
fr8=fr4-4*con
fr9=fr4-5*con
fr10=fr4-6*con
fr11=fr4-7*con
fr12=fr4-8*con
f4=fr4*b3
tf4=tf3+f4
b4=b0+tf4*k
f5=fr5*b4
tf5=tf4+f5
b5=b0+tf5*k
f6=fr6*b5
tf6=tf5+f6
b6=b0+tf6*k
f7=fr7*b6
tf7=tf6+f7
b7=b0+tf7*k
f8=fr8*b7
tf8=tf7+f8
b8=b0+tf8*k
f9=fr9*b8
tf9=tf8+f9
b9=b0+tf9*k
f10=fr10*b9
tf10=tf9+f10
b10=b0+tf10*k
f11=fr11*b10
tf11=tf10+f11
b11=b0+tf11*k
f12=fr12*b11
t1 = (f1-x*b0)/(1+x)
t2 = (f2-x*b1)/(1+x)^2
t3 = (f3-x*b2)/(1+x)^3
t4 = (f4-x*b3)/(1+x)^4
t5 = (f5-x*b4)/(1+x)^5
t6 = (f6-x*b5)/(1+x)^6
t7 = (f7-x*b6)/(1+x)^7
t8 = (f8-x*b7)/(1+x)^8
t9 = (f9-x*b8)/(1+x)^9
t10 = (f10-x*b9)/(1+x)^10
t11= (f11-x*b10)/(1+x)^11
t12= (f12-x*b11)/(1+x)^12
tv= t12/x
return(-p+b0+t1+t2+t3+t4+t5+t6+t7+t8+t9+t10+t11+tv)
}
for (i=1;i<=rows(z);i++) {
r=mm_root(gls=.,&w(),smallestdouble(),1-epsilon(1),1e-9,1000, ///
z[i,2],z[i,3],z[i,4],z[i,5],z[i,6],z[i,7],z[i,8])
z[i,1]= gls
}
end
drop if missing(t)
sum gls
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double year float(roe_ind_mov dpo_comp ltg_pos id feps1_pos_w feps2_pos_w) double price_ibes_w float(bveps_comp_w gls) 2006 .13732198 .01957673 . 3 .47 .53 15.84 7.386957 . 2007 .13418032 .0301397 .12 3 .31 .36 9.7 7.713243 . 2008 .12149094 .015837386 .12 3 .33 .36 9.8 11.033774 . 2009 .10040423 .018786145 .12 3 . .18 7.8 10.937116 . 2010 .0818014 .018717727 .12 3 .34 .39 10.73 10.956161 .06888516 end