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st: store error term from individual panel regressions


From   Steven Archambault <archstevej@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: store error term from individual panel regressions
Date   Sat, 27 Aug 2011 13:27:34 -0600

Hi all,

I have panel data with 100 panels over 20 time periods. I want to run
a regression on each panel, and then store the error term as a new
variable. But, I want to do this with each panel individually, and
then use the results in a new model. I can do them one at a time as
follows.

reg y time if code==1
predict e_code1 if code==1, stdp

reg y time if code==2
predict e_code2 if code==2, stdp

This gets pretty cumbersome to do one by one. Can somebody suggest a
more efficient way?

Thanks!
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