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From |
"Steichen, Thomas J." <SteichT@rjrt.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: Running a regression for a subset of observations issue |

Date |
Fri, 6 Jul 2007 16:34:08 -0400 |

Here's a variation on that using the auto dataset: sysuse auto cap drop mpg_exc gen mpg_excl = . foreach n of numlist 1/5 { qui regress mpg weight displacement turn if rep78 != `n' qui predict hat qui replace mpg_excl = hat if rep78 == `n' qui drop hat } l mpg mpg_excl rep78 ----------------------------------- Thomas J. Steichen steicht@rjrt.com ----------------------------------- -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nuno Sent: Friday, July 06, 2007 4:08 PM To: statalist@hsphsun2.harvard.edu Subject: st: Running a regression for a subset of observations issue 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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ ----------------------------------------- CONFIDENTIALITY NOTE: This e-mail message, including any attachment(s), contains information that may be confidential, protected by the attorney-client or other legal privileges, and/or proprietary non-public information. If you are not an intended recipient of this message or an authorized assistant to an intended recipient, please notify the sender by replying to this message and then delete it from your system. Use, dissemination, distribution, or reproduction of this message and/or any of its attachments (if any) by unintended recipients is not authorized and may be unlawful. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: RE: Running a regression for a subset of observations issue***From:*"Nuno" <liststata@gmail.com>

**References**:**st: Running a regression for a subset of observations issue***From:*"Nuno" <liststata@gmail.com>

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