Hi Guys
I want to use Stata to identify merge waves like Harfold (2005). The following is how he did in his paper:
"for each industry, I calculate the highest 24-month concentration of merger bids involving firms in that industry in each decade. This 24-month period is identified as a potential wave. Taking the total number of bids over the entire decade for a given industry, I simulate 1000 distributions of that number of occurrences of industry member involvement in a bid over a 120-month period by randomly assigning each occurrence to a month where the probability of assignment is 1/120 for each month. I then calculate the highest 24-month concentration of activity from each of the 1000 draws. Finally, I compare the actual concentration of activity from the potential wave to the empirical distribution of 1000 peak 24-month concentrations. If the actual peak concentration exceeds the 95th percentile from that empirical distribution, that period is coded as a wave."
For example, in my data, the finance industry had 3347 merges during 1980 to 1990. The number of the highest 24-month concentration of mergers is 1125 during this decade. What I will do next is to randomly assign 3347 mergers over a 120-month period, and then calculate the number of the highest 24-month concentration of mergers. Then, I repeat this process for 1000 times, obtaining the distribution of the number of the highest 24-month concentration of mergers. Then, I compare the actually number of concentration, 3347, to the distribution, to see if it exceeds the 95th percentile.
Can I do this in Stata? .
I want to use Stata to identify merge waves like Harfold (2005). The following is how he did in his paper:
"for each industry, I calculate the highest 24-month concentration of merger bids involving firms in that industry in each decade. This 24-month period is identified as a potential wave. Taking the total number of bids over the entire decade for a given industry, I simulate 1000 distributions of that number of occurrences of industry member involvement in a bid over a 120-month period by randomly assigning each occurrence to a month where the probability of assignment is 1/120 for each month. I then calculate the highest 24-month concentration of activity from each of the 1000 draws. Finally, I compare the actual concentration of activity from the potential wave to the empirical distribution of 1000 peak 24-month concentrations. If the actual peak concentration exceeds the 95th percentile from that empirical distribution, that period is coded as a wave."
For example, in my data, the finance industry had 3347 merges during 1980 to 1990. The number of the highest 24-month concentration of mergers is 1125 during this decade. What I will do next is to randomly assign 3347 mergers over a 120-month period, and then calculate the number of the highest 24-month concentration of mergers. Then, I repeat this process for 1000 times, obtaining the distribution of the number of the highest 24-month concentration of mergers. Then, I compare the actually number of concentration, 3347, to the distribution, to see if it exceeds the 95th percentile.
Can I do this in Stata? .
