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st: RE: regression: fade rate residual income


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: regression: fade rate residual income
Date   Mon, 13 Oct 2008 18:12:59 +0100

The syntax appears to match your word description. Perhaps the answer
lies within "what [you] expected", not clarified here. 

Nick 
n.j.cox@durham.ac.uk 

GBrenner1@gmx.de

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


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