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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 > > * > * 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/ > ----------------------------------------- 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/ ----------------------------------------- ___________________________________________________________ The all-new Yahoo! Mail goes wherever you go - free your email address from your Internet provider. http://uk.docs.yahoo.com/nowyoucan.html * * 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/

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

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