Difference between revisions of "Matching LBOs (Julia)"
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Before running, modify the following options if necessary: | Before running, modify the following options if necessary: | ||
| − | |||
line 12: | line 12: | ||
readtable("Filepath") | readtable("Filepath") | ||
| + | |||
| + | *Modify if matching using different file | ||
| + | |||
| + | Lines 38-48: | ||
(Not implemented yet: More user-friendly way to input restrictions) | (Not implemented yet: More user-friendly way to input restrictions) | ||
| Line 42: | Line 45: | ||
**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 58: | |
| + | mscore = :logitpw; | ||
*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, with regressions performed using winsorized values of regressors (trimmed at 1st and 99th percentiles): logitpw, probitpw, hrw | ||
| − | |||
| − | |||
| − | + | ||
line 61: | line 61: | ||
randoption = 0; | randoption = 0; | ||
| − | *Specify | + | *Specify whether matching priority should be deterministic or random. If deterministic, priority goes to lower GVKEY |
| − | |||
lines 69-81: | lines 69-81: | ||
| Line 69: | Line 70: | ||
return eval(parse(mcriteria)) | return eval(parse(mcriteria)) | ||
end | end | ||
| + | |||
| + | |||
| + | *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. | ||
Revision as of 03:57, 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:
line 12: readtable("Filepath")
- Modify if matching using different file
Lines 38-48:
(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
line 58:
mscore = :logitpw;
- 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 61:
randoption = 0;
- Specify whether matching priority should be deterministic or random. If deterministic, priority goes to lower GVKEY
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
- 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.
