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st: regression: fade rate residual income


From   GBrenner1@gmx.de
To   statalist@hsphsun2.harvard.edu
Subject   st: regression: fade rate residual income
Date   Mon, 13 Oct 2008 19:02:25 +0200

Dear all:

I would like to run a regression on residual_income. I have yearly observations of residual income for firms. The year is given in variable "year", the identifier for firm is "name".

I'd like to run the regression residual_income(year) = b0 + b1 * residual_income(year-1) + e     The regression should run on "residual_income" over every two consecutive years ("year") within each identifier "name" (whenever there are values for at least two consecutive years for a given name).

I used the following, but my results are not what I expected:

tsset name year
reg residual_income l.residual_income

Hope someone can help me. Thanks for your consideration.
Greg B.
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