On Mon, Mar 13, 2023 at 7:33 AM Artur T. <ate...@posteo.de> wrote:
>
> Hi all,
>
> I obtain an error with the aggregate() function when calling a
> user-defined function for aggregation.
>
> The following example works fine, if one groups the data by a single
> variable but it fails with a second group-by variable:
>
> <hansl>
> set verbose off
> clear
> open grunfeld -q
>
> function scalar quantile_range (series y)
> /* Compute the interquartile range. */
>
> scalar ret = quantile(y, 0.75) - quantile(y, 0.25)
> print ret
>
> return ret
> end function
>
> # Works
> list groupby = firmname
> list L = invest value
> matrix agg = aggregate(L, groupby, quantile_range)
> print agg
>
> # Fails
> list groupby = firmname ticker # we add "ticker"
> list L = invest value
> matrix agg = aggregate(L, groupby, quantile_range)
> print agg
> </hansl>
The aggregator function has to be coded a bit more defensively. Of the
100 cases of (firmname, ticker) 90 are empty, so it has to be ready to
handle absence of data, as in
if $nobs == 0 || sum(ok(y)) == 0
return NA
endif
Allin
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