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Re: st: regression: fade rate residual income


From   Michael Hanson <mshanson@mac.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: regression: fade rate residual income
Date   Mon, 13 Oct 2008 14:39:43 -0400

What is the resulting text that Stata displays after you -tsset- your data? Based on the minimal amount of information provided, I would guess that Stata thinks you have annual data (as that appears to be what you told it), but you want a bi-annual difference (as you state: "over every two consecutive years"). As Nick pointed out, what you want and what you told Stata to do may not coincide; hence your "unexpected" results. But you are going to need to at least show the results of your commands, and explain why they are "not expected", before you are likely to get any better suggestions from the list. See also sections 3.1 to 3.3 of <http://www.stata.com/support/faqs/ res/statalist.html>.

HTH,
Mike


On Oct 13, 2008, at 1:02 PM, GBrenner1@gmx.de wrote:

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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