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st: Running a regression for a subset of observations issue


From   "Nuno" <liststata@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Running a regression for a subset of observations issue
Date   Fri, 6 Jul 2007 21:07:54 +0100

Hello everyone,

Does anyone know if Stata is able to cyclically run n regressions on a n
observations sample, but at each ith cycle the ith observation is excluded
from the sample that will be used in the estimation?

The idea is the following: I have a sample of firms which are classified in
a particular SIC code. There is a model (Jones (1991)) that for each firm in
a given SIC estimates a regression based on the firms that compose that SIC,
excluding the firm being analyzed and then uses the estimated coefficients
to determine the expected value of a given variable for the excluded firm.
This might seem confuse, but the steps are quite straightforward (although I
can't implement it in Stata...).

So imagine we have in a given SIC code 10 companies. Then, the procedure
would do the following:
1. Run the regression Y=a0+a1*X1+a2*x2 and obtain the coefficients estimates
for all the 9 observations excluding the 1st one;
2. Use the estimated coefficients to determine the expected value of Y for
the first firm;
3. Repeat 1 and 2 for the 2nd, 3rd, 4th ... firms in that SIC, excluding the
2nd, 3rd, 4th ... firm in each step.

Controlling for each SIC code is easy (just use -foreach-) but I'm unable to
implement steps 1-3...
Any ideas?

Best

Nuno

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