austen06 发表于 2016-11-12 04:08
你的dofile里是什么东西?
use SFA_data.dta, clear
tsset id year
xtdes
*-剔除金融类企业
panels id if isfinan==1
drop if isfinan==1
*-剔除 ST-PT 公司
panels id if (v370st!="")
drop if (v370st~="")
*-保留 2000-01-01 以前上市且仅发行A股的公司1998年以后的数据
drop if (id>200000 & id<300000) | id>900000
drop if pyear>2000
drop if year<2000
*============
* 指标构建
*============
*-主要财务指标
gen tl = a200000/a100000
gen invt = d220101/L.a130127
gen CFlow= d100000/L.a130127
gen size = ln(a100000)
gen stfn = a310101 + a310301 // 股权融资 = 股本 + 资本公积金
gen dbfn = a200000 // 债务融资 = 总负债
gen EQUI = D.stfn/L.a100000
gen DEBT = D.dbfn/L.a100000
gen sgr = D.b110101/L.b110101
gen tagr = D.a100000/L.a100000
gen cash = (d630101+d630301)/a100000 // 现金及现金等价物期末余额/总资产
*-Tobin Q
gen aps = a300000/totalshr // 每股净资产 = 股东权益合计/总股本
gen mv = tshr*p_av_dec+(totalshr-tshr)*aps + a200000 // 股东权益市值+负债合计
gen tobin = mv/a100000
*-对数转换
gen ln_invt = ln(invt)
gen ln_tobin= ln(tobin)
*-变量标签
label var invt 投资支出率
label var CFlow 现金流量
label var size 公司规模
label var sgr 主营业务收入成长率
label var tagr 总资产成长率
label var EQUI 股权融资增加额对数值
label var DEBT 债务融资增加额对数值
label var cash 现金持有比率
*===============
* 再次样本筛选
*===============
*-去除缺漏值
egen miss = rmiss(ln_invt ln_tobin EQUI DEBT size CFlow)
drop if miss != 0
*-删除负债率>100%,总资产成长率或销售额成长率大于200%的公司
drop if (tl>1 | sgr>2 | tagr>2)
*-转换为平行面板
ssc install xtbalance, replace
xtbalance, range(2001 2006)