clear
use C:\Users\Administrator\Desktop\sz\sz\zhongji.dta
drop in 1
drop in 1
gen date=substr(var1,1,10)
destring date var2,ignore("-") replace
rename var2 corp
sort date
save zhongji,replace
clear
use C:\Users\Administrator\Desktop\sz\sz\market.dta
drop in 1
drop in 1
gen date=substr(var1,1,10)
destring date var2,ignore("-") replace
rename var2 market
sort date
save market,replace
merge date using zhongji
drop _merge
drop if corp==.
drop if market==.
gen corp1=corp if date<20070803
gen market1=market if date<20070803
sort date
drop if corp1==.
drop if market==.
save cm1,replace
save C:\Users\Administrator\Desktop\sz\cm1,replace
clear
use C:\Users\Administrator\Desktop\sz\sz\zhongji.dta
drop in 1
drop in 1
gen date=substr(var1,1,10)
destring,ignore("-") replace
rename var2 corp
sort date
save zhongji,replace
clear
use C:\Users\Administrator\Desktop\sz\sz\market.dta
drop in 1
drop in 1
gen date=substr(var1,1,10)
destring,ignore("-") replace
rename var2 market
sort date
save market,replace
merge date using zhongji
drop _merge
drop if corp==.
drop if market==.
gen corp2=corp if date>=20070803
gen market2=market if date>=20070803
sort date
drop if corp2==.
drop if market2==.
save cm2,replace
clear
use cm1
sort date
gen corp3=corp1 in -105/-6
gen market3=market1 in -105/-6
gen date1=date in -105/-6
sort date1
drop if corp3==.
drop date corp1 market1
save cm3,replace
clear
use C:\Users\Administrator\Desktop\sz\cm1
sort date
gen corp3=corp1 in -5/-1
gen market3=market1 in -5/-1
gen date1=date in -5/-1
sort date1
drop if corp3==.
drop date corp1 market1
save cm4,replace
clear
use cm2
sort date
gen corp3=corp2 in 1/5
gen market3= market2 in 1/5
gen date1=date in 1/5
sort date1
drop if corp3==.
drop date corp2 market2 corp market
save cm5,replace
append using cm4,keep(date1 corp3 market3)
append using cm3,keep(date1 corp3 market3)
sort date1
save cm7,replace
reg corp3 market3 in 1/100
predict stddp in 101/110
gen res= corp3-stddp in 101/110
mean res

写的真复杂，擦

g d=date(substr(var1,1,10),"YMD")
keep if d>16560&d<16570

4# sungmoo
哈哈，早知道就好了