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Re: st: cross-sectional (retarded) averages


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cross-sectional (retarded) averages
Date   Fri, 19 Oct 2007 13:23:54 -0400

Daniele Gori <west--@libero.it>:
It's not really clear to me what you want from the question.  Try
framing it in terms of a small dataset we can see, and results that
can be read easily in an email.  Is this in the right vein?

webuse grunfeld, clear
tsset
loc tv "`r(timevar)'"
levelsof `tv', loc(tl)
foreach v in pred cons curi lagi {
 g double `v'=.
}
foreach t of local tl {
 cap reg mval inv l.inv if `tv'==`t'
 qui if _rc==0 {
  tempvar pt
  predict double `pt'
  replace pred=`pt' if e(sample)
  replace cons=_b[_cons] if e(sample)
  replace curi=_b[inv] if e(sample)
  replace lagi=_b[L1.] if e(sample)
  drop `pt'
 }
}

On 10/18/07, Daniele Gori <west--@libero.it> wrote:
> Dear all,
>
> I have a large (but incomplete) panel database of firm level data and many variable, from 1995 to 2005. I would like to adopt the cross-section average estimation technique. My goal is to compute time-varying predicted values of the dependent variable. In particular, in my case I wish to estimate the following equation:
>
> yi = x1i + x2i + ui  (1)
>
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