Difference between revisions of "Matching LBOs (Julia)"
| Line 31: | Line 31: | ||
There are a few things that can be customized in the script. Getting this 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. | There are a few things that can be customized in the script. Getting this 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. | ||
| − | If matching using different file, modify | + | Before running, modify the following options if necessary: |
| + | |||
| + | *If matching using different file, modify | ||
line 12: | line 12: | ||
| − | readtable("Filepath") | + | readtable("Filepath") |
(Not implemented yet: More user-friendly way to input restrictions) | (Not implemented yet: More user-friendly way to input restrictions) | ||
| − | 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 | + | *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 | ||
| Line 42: | Line 44: | ||
Lines 38-48 | Lines 38-48 | ||
| − | 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) | ||
| Line 48: | Line 50: | ||
logitpw, probitpw, hrw | 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 | + | *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) | + | *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. | 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: | ||
| − | function mcexpr(i) | + | 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 | + | end |
Revision as of 03:52, 30 June 2017
| Matching LBOs (Julia) | |
|---|---|
| Project Information | |
| Project Title | Matching LBOs (Julia) |
| Owner | James Chen |
| Start Date | |
| Deadline | |
| Keywords | Tool |
| Primary Billing | |
| Notes | |
| Has project status | Active |
| Copyright © 2016 edegan.com. All Rights Reserved. | |
Leveraged Buyout Innovation (Academic Paper)
Contents
Instructions for running matching code
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\
- Run script LBOmatchscript.jl
Options
There are a few things that can be customized in the script. Getting this 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.
Before running, modify the following options if necessary:
- If matching using different file, modify
line 12: readtable("Filepath")
(Not implemented yet: More user-friendly way to input restrictions)
- 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
- 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, 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
