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Re: st: Running a regression for a subset of observations issue


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Running a regression for a subset of observations issue
Date   Fri, 6 Jul 2007 21:37:01 +0100 (BST)

this looks very much like the jacknife and dfits (the latter and
variations on it can be predicted after -regress-). So my first idea
would to see if that procedure by (Jones 1991) hasn't been implemented
yet. FULL REFERENCES PLEASE, (I know that I am shouting, and it is
intentional)

Hope this helps,
Maarten


--- Nuno <liststata@gmail.com> wrote:

> 
> 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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> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 


-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


		
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