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Re: st: time series from panel data


From   "Whelan, Paul" <paul.whelan07@imperial.ac.uk>
To   "<statalist@hsphsun2.harvard.edu>" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: time series from panel data
Date   Sun, 10 Feb 2013 20:15:51 +0000

Danke schon

Sent from my iPhone

On 10 Feb 2013, at 20:04, "Scott Merryman" <scott.merryman@gmail.com> wrote:

> 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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