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RE: st: Question about getting residuals by group


From   Pradipto Banerjee <pradipto.banerjee@adainvestments.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Question about getting residuals by group
Date   Wed, 20 Jun 2012 11:20:14 -0500

Thanks, Joerg. It may work, but looping may slow down my code. Any other suggestion for a faster operation than using a loop, e.g. any idea if this can be done using matrix manipulations?


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Joerg Luedicke
Sent: Wednesday, June 20, 2012 12:07 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Question about getting residuals by group

You could loop over the levels of your GroupID variable. Consider the
following example:

*------------------------------------
sysuse auto, clear
gen resid=.
levelsof foreign, local(groups)
foreach a of local groups {
        reg price mpg if foreign==`a'
        tempvar d
        predict `d', residuals
        replace resid=`d' if foreign==`a'
}
*------------------------------------

J.

On Wed, Jun 20, 2012 at 10:42 AM, Pradipto Banerjee
<pradipto.banerjee@adainvestments.com> wrote:
> I want to carry out a regression and then use the residual, but within groups. More specifically, suppose there is a variable GroupID, and variables DependVar & IndepVar. Currently, Stata allows the follow:
>
> . regress DependVar IndepVar
> . predict PredictVar
> . gen ResidVar = DependVar - PredictVar
>
> If I were to do
>
> . bys GroupID: regress DependVar IndepVar
>
> Then I noticed that
>
> .ereturn list
>
> only retains the regression parameters for the very last GroupID for which it did the regression. So, if I were to combine the following two steps:
>
> . bys GroupID: regress DependVar IndepVar
> . predict PredictVar
>
> My understanding is that PredictVar would use the regression results from the very last GroupID. I want to use the regression results from each GroupID to generated the predicted variable for that GroupID. Are there any alternative ways?
>
> Thanks,
> Prad
>


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