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[[Leveraged Buyout Innovation 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 && (Academic Paperi.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
OutputLines 69-81: tab delimited file 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 = "EnonLBOs[:/McNair/Projects/LBO/New matching/matchresultsmatchsubset] = (nonLBOs[:industrygroup3].txt== LBOs[$i,:industrygroup3])"This is the input file mcriteria = mcriteria * " .* (nonLBOs[:decade].==LBOs[$i, except with an additional column :decade])"matchpair mcriteria = mcriteria * " indicating matched pairs.* (nonLBOs[:patentstock] .>= (LBOs[$i,:patentstock]*.8))"positive integers identify pairs matched, negative integers identify matched non- mcriteria = mcriteria * " .* (nonLBOs[:patentstock] .<= (LBOs in years other than the match[$i, -:patentstock]*1.2))" mcriteria = mcriteria * " .* (nonLBOs[:matchpair] .== 0.1 identifies LBOs that failed to match under given constraints)" return eval(parse(mcriteria)) end
Matching LBOs (Julia) (view source)
Revision as of 13:47, 21 September 2020
, 13:47, 21 September 2020no edit summary
{{Project|Has project output=Tool|Has sponsor=McNair ProjectsCenter
|Has title=Matching LBOs (Julia)
|Has owner=James Chen,
|Has keywords=Tool
|Has project status=ActiveComplete
}}
[[Leveraged Buyout Innovation (Academic Paper)]]
==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
Line 61: randoption ==Instructions for running matching code==0;
===Inputs and OutputsSpecify additional constraints on valid matches (modify code within function mcexpr as desired)===Input: tab delimited file "E:/McNair/Projects/LBO/Clean/STATApredictLBOclean.txt"This contains list of LBO and nonLBO firms from compustat 1970-2015*For example, propensity scoresdefault code forces matches to be within the same industry group, patent datawithin the same decade, and other variables generated from stata code "statadatasetup4.do" and "statapredictLBOcleanwith patent stocks within +/- 20% of LBO firm.do"
