Difference between revisions of "Matching LBOs (Julia)"
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− | {{McNair | + | {{Project |
+ | |Has project output=Tool | ||
+ | |Has sponsor=McNair Center | ||
|Has title=Matching LBOs (Julia) | |Has title=Matching LBOs (Julia) | ||
|Has owner=James Chen, | |Has owner=James Chen, | ||
|Has keywords=Tool | |Has keywords=Tool | ||
− | |Has project status= | + | |Has project status=Complete |
}} | }} | ||
+ | [[Leveraged Buyout Innovation (Academic Paper)]] | ||
− | |||
− | |||
− | + | ==Inputs and Outputs== | |
*Input: tab delimited file "E:/McNair/Projects/LBO/Clean/STATApredictLBOclean.txt" | *Input: tab delimited file "E:/McNair/Projects/LBO/Clean/STATApredictLBOclean.txt" | ||
Line 19: | Line 20: | ||
**Positive integers identify pairs matched, negative integers identify matched non-LBOs in years other than the match, -0.1 identifies LBOs that failed to match to any non-LBOs under constraints provided | **Positive integers identify pairs matched, negative integers identify matched non-LBOs in years other than the match, -0.1 identifies LBOs that failed to match to any non-LBOs under constraints provided | ||
− | + | ==Running Code== | |
*Open Julia command line in administrator mode | *Open Julia command line in administrator mode | ||
*Change directory to E:\McNair\Projects\LBO\New matching\ | *Change directory to E:\McNair\Projects\LBO\New matching\ | ||
+ | cd("E:/McNair/Projects/LBO/New\ matching") | ||
− | *Run script LBOmatchscript.jl | + | *Run script LBOmatchscript.jl |
− | + | include("LBOmatchscript.jl") | |
− | |||
− | + | ==Options== | |
− | + | There are a few options that can be customized in the script before running. Getting the code into a more user-friendly form is a WIP. In fact, some parts might be difficult, if not impossible, to write in a more accessible way. | |
− | + | ===Specify input file (if using different file than default)=== | |
Line 12: | Line 12: | ||
− | readtable(" | + | df = readtable("E:/McNair/Projects/LBO/Clean/STATApredictLBOclean.txt", separator = '\t'); |
− | |||
− | |||
− | + | ===Specify which observations are valid for matching=== | |
− | Specify which observations are valid for matching | + | *For now, we filter out all firms that were never granted a single patent in the period 1970-2015 |
*For firms that LBO, we also drop their observations in all other years from the list of candidates to match to other LBOs | *For firms that LBO, we also drop their observations in all other years from the list of candidates to match to other LBOs | ||
*See inline comments in code for detailed description of what matchfilter2, matchfilter4, etc. represent | *See inline comments in code for detailed description of what matchfilter2, matchfilter4, etc. represent | ||
Lines 38-48 | Lines 38-48 | ||
+ | #Splitting dataset into LBO and non-LBO firms | ||
+ | #Note that we also filter out all firms that were never granted a single patent in the period 1970-2015 | ||
+ | LBOs = @from i in df begin | ||
+ | @where i.everlbo == 1 && (i.matchfilter4 == 1 ||i.matchfilter2b == 1) && i.lboentry == 1 | ||
+ | @select i | ||
+ | @collect DataFrame | ||
+ | end | ||
+ | nonLBOs = @from i in df begin | ||
+ | @where i.everlbo == 0 && (i.matchfilter4 == 1 ||i.matchfilter2b == 1) | ||
+ | @select i | ||
+ | @collect DataFrame | ||
+ | end | ||
− | Specify propensity score type to use for matching | + | ===Specify propensity score type to use for matching=== |
*Options are: logitp (panel logit), probitp (panel probit), or Cox proportional hazard (hr) | *Options are: logitp (panel logit), probitp (panel probit), or Cox proportional hazard (hr) | ||
− | *Alternatively, can use the above, with regressions performed using winsorized values of regressors (trimmed at 1st and 99th percentiles): logitpw, probitpw, hrw | + | *Alternatively, can use the above options, with regressions performed using winsorized values of regressors (trimmed at 1st and 99th percentiles): logitpw, probitpw, hrw |
Line 58: | Line 58: | ||
mscore = :logitpw; | mscore = :logitpw; | ||
+ | |||
+ | ===Specify whether matching priority should be deterministic or random=== | ||
+ | *If deterministic, priority goes to lower GVKEY | ||
Line 61: | Line 61: | ||
randoption = 0; | randoption = 0; | ||
− | * | + | ===Specify additional constraints on valid matches (modify code within function mcexpr as desired)=== |
+ | *For example, default code forces matches to be within the same industry group, within the same decade, and with patent stocks within +/- 20% of LBO firm. | ||
Lines 69-81: | Lines 69-81: | ||
Line 72: | Line 87: | ||
return eval(parse(mcriteria)) | return eval(parse(mcriteria)) | ||
end | end | ||
− | |||
− | |||
− | |||
− |
Latest revision as of 12:47, 21 September 2020
Matching LBOs (Julia) | |
---|---|
Project Information | |
Has title | Matching LBOs (Julia) |
Has owner | James Chen |
Has start date | |
Has deadline date | |
Has keywords | Tool |
Has project status | Complete |
Has sponsor | McNair Center |
Has project output | Tool |
Copyright © 2019 edegan.com. All Rights Reserved. |
Leveraged Buyout Innovation (Academic Paper)
Contents
- 1 Inputs and Outputs
- 2 Running Code
- 3 Options
- 3.1 Specify input file (if using different file than default)
- 3.2 Specify which observations are valid for matching
- 3.3 Specify propensity score type to use for matching
- 3.4 Specify whether matching priority should be deterministic or random
- 3.5 Specify additional constraints on valid matches (modify code within function mcexpr as desired)
Inputs and Outputs
- Input: tab delimited file "E:/McNair/Projects/LBO/Clean/STATApredictLBOclean.txt"
- This contains list of LBO and nonLBO firms from compustat 1970-2015, propensity scores, patent data, and other variables generated from stata code "statadatasetup4.do" and "statapredictLBOclean.do"
- Output: tab delimited file "E:/McNair/Projects/LBO/New matching/matchresults.txt"
- This is the input file, except with an additional column "matchpair" indicating matched pairs:
- Positive integers identify pairs matched, negative integers identify matched non-LBOs in years other than the match, -0.1 identifies LBOs that failed to match to any non-LBOs under constraints provided
Running Code
- Open Julia command line in administrator mode
- Change directory to E:\McNair\Projects\LBO\New matching\
cd("E:/McNair/Projects/LBO/New\ matching")
- Run script LBOmatchscript.jl
include("LBOmatchscript.jl")
Options
There are a few options that can be customized in the script before running. Getting the code into a more user-friendly form is a WIP. In fact, some parts might be difficult, if not impossible, to write in a more accessible way.
Specify input file (if using different file than default)
Line 12:
df = readtable("E:/McNair/Projects/LBO/Clean/STATApredictLBOclean.txt", separator = '\t');
Specify which observations are valid for matching
- For now, we filter out all firms that were never granted a single patent in the period 1970-2015
- For firms that LBO, we also drop their observations in all other years from the list of candidates to match to other LBOs
- See inline comments in code for detailed description of what matchfilter2, matchfilter4, etc. represent
Lines 38-48
#Splitting dataset into LBO and non-LBO firms #Note that we also filter out all firms that were never granted a single patent in the period 1970-2015 LBOs = @from i in df begin @where i.everlbo == 1 && (i.matchfilter4 == 1 ||i.matchfilter2b == 1) && i.lboentry == 1 @select i @collect DataFrame end nonLBOs = @from i in df begin @where i.everlbo == 0 && (i.matchfilter4 == 1 ||i.matchfilter2b == 1) @select i @collect DataFrame end
Specify propensity score type to use for matching
- Options are: logitp (panel logit), probitp (panel probit), or Cox proportional hazard (hr)
- Alternatively, can use the above options, with regressions performed using winsorized values of regressors (trimmed at 1st and 99th percentiles): logitpw, probitpw, hrw
Line 58:
mscore = :logitpw;
Specify whether matching priority should be deterministic or random
- If deterministic, priority goes to lower GVKEY
Line 61:
randoption = 0;
Specify additional constraints on valid matches (modify code within function mcexpr as desired)
- For example, default code forces matches to be within the same industry group, within the same decade, and with patent stocks within +/- 20% of LBO firm.
Lines 69-81:
function mcexpr(i) #note that the below syntax is the simplest way to store a long string over multiple lines #(i.e., appending additional characters per line) #Also, note that order of operations forces us to put each condition in parentheses mcriteria = "nonLBOs[:matchsubset] = (nonLBOs[:industrygroup3].== LBOs[$i,:industrygroup3])" mcriteria = mcriteria * " .* (nonLBOs[:decade].==LBOs[$i,:decade])" mcriteria = mcriteria * " .* (nonLBOs[:patentstock] .>= (LBOs[$i,:patentstock]*.8))" mcriteria = mcriteria * " .* (nonLBOs[:patentstock] .<= (LBOs[$i,:patentstock]*1.2))" mcriteria = mcriteria * " .* (nonLBOs[:matchpair] .== 0 )" return eval(parse(mcriteria)) end