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From |
Mindell Nitkin <mindy.nitkin@simmons.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: upper case to lower case for all variable names |

Date |
Wed, 16 Nov 2005 17:40:03 -0500 |

Thanks for the suggestion, but that isn't quite what I am looking for, so I'll try to clarify.

I want to do industry based regressions in year t-1, then use the coefficients from the industry regressions to predict the value of accrual for firms in each industry in year t. I am using 2 digit SIC codes to define the industries. I have roughly 50 industry groupings with anywhere between 10 and 100 firms per industry.

For example, in the first stage:

by SIC: regress accruals PPE REV AR INV

In the second stage, I want to use the coefficients of PPE REV AR and INV to predict accruals (or alternately to predict the unexpected portion of accruals / the residuals) for each firm within any given industry.

Again thanks for the help,

Mindy Nitkin

DBA candidate

Boston University

Michael Blasnik wrote:

"Caleb Southworth" <caleb@twinky.uoregon.edu> wrote:This approach should not be used to create lagged values because Stata randomly breaks ties during a sort. You must specify the time variable using -bysort SIC (time): gen ...- or else use Stata's built-in time series operators which are much smarter and more careful.Within SIC lags: sort SIC by SIC: gen CF_1=CF[_n-1] by SIC: gen CF_2=CF[_n-2] etc.

Michael Blasnik

michael.blasnik@verizon.net

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**Follow-Ups**:**st: Re: 2 stage regression***From:*mindy.nitkin@simmons.edu

**regression and prediction problem (was Re: st: upper case to lowercase for all variable names)***From:*"Michael Blasnik" <michael.blasnik@verizon.net>

**References**:**RE: st: upper case to lower case for all variable names***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: upper case to lower case for all variable names***From:*Mindell Nitkin <mindy.nitkin@simmons.edu>

**Re: st: upper case to lower case for all variable names***From:*Caleb Southworth <caleb@twinky.uoregon.edu>

**Re: st: upper case to lower case for all variable names***From:*"Michael Blasnik" <michael.blasnik@verizon.net>

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