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Attaullah Shah
Keymaster
December 26, 2019 at 12:03 am
Post count: 69
#2900

If you want to create two groups of firms in each year, then something like the following will work:

* For creating two groups of firms in each year, I am using astile. More on astile here

ssc install astile, replace

*Download example data
webuse grunfeld, clear

*Create two groups based on mvalue
bys year: astile size = mvalue, nq(2)

*Cross-sectional regression
*For Cross-sectional regression, install asreg, more on asreg here

ssc install asreg, replace

*Yearly cross-sectional regression for each size group
bys size year: asreg  invest mvalue kstock