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Re: st: time series from panel data


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: time series from panel data
Date   Sun, 10 Feb 2013 14:03:34 -0600

xtreg ...
predict eps, e
collapse eps, by(date)

Scott


On Sun, Feb 10, 2013 at 11:36 AM, Whelan, Paul
<paul.whelan07@imperial.ac.uk> wrote:
> Hi,
>
> I would like to take the 'mean' of the residuals from a panel
> regression at each point in time to plot the average residual
> in the cross-section as a time series. Here is an example and
> the code I am using :
>
> xtreg y x1 x2, fe vce(robust)
> predict yhat
> generate eps = y - yhat
> by date, sort: egen mean_residual = mean(eps)
>
> I would then like to export the resulting mean_residual to excel
> as a single time series i.e., one observation for each date. The
> problem is that I get many mean_residuals for each date corresponding
> to each entity in the cross-section at that point in time.
>
> Is there a simple way to extract a single time series?
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