Difference between revisions of "Matching LBOs (Julia)"

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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
+
  #note that the below syntax is the simplest way to store a long string over multiple lines
  #(i.e., appending additional characters per line)
+
  #(i.e., appending additional characters per line)
  #Also, note that order of operations forces us to put each condition in parentheses
+
  #Also, note that order of operations forces us to put each condition in parentheses
  
  mcriteria = "nonLBOs[:matchsubset] = (nonLBOs[:industrygroup3].== LBOs[$i,:industrygroup3])"
+
  mcriteria = "nonLBOs[:matchsubset] = (nonLBOs[:industrygroup3].== LBOs[$i,:industrygroup3])"
  mcriteria = mcriteria * " .* (nonLBOs[:decade].==LBOs[$i,:decade])"
+
  mcriteria = mcriteria * " .* (nonLBOs[:decade].==LBOs[$i,:decade])"
  mcriteria = mcriteria * " .* (nonLBOs[:patentstock] .>= (LBOs[$i,:patentstock]*.8))"
+
  mcriteria = mcriteria * " .* (nonLBOs[:patentstock] .>= (LBOs[$i,:patentstock]*.8))"
  mcriteria = mcriteria * " .* (nonLBOs[:patentstock] .<= (LBOs[$i,:patentstock]*1.2))"
+
  mcriteria = mcriteria * " .* (nonLBOs[:patentstock] .<= (LBOs[$i,:patentstock]*1.2))"
  mcriteria = mcriteria * " .* (nonLBOs[:matchpair] .== 0 )"
+
  mcriteria = mcriteria * " .* (nonLBOs[:matchpair] .== 0 )"
  return eval(parse(mcriteria))
+
  return eval(parse(mcriteria))
end
+
end

Revision as of 04:52, 30 June 2017


McNair Project
Matching LBOs (Julia)
Project logo 02.png
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)

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