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From |
"Maarten Buis" <[email protected]> |

To |
<[email protected]> |

Subject |
st: RE: Residuals from sequence of regressions |

Date |
Sun, 17 Oct 2004 12:01:47 +0200 |

```
Dear Alex,
The following sollution may be less then elegant but it does work. The first few lines generate an example dataset. If you want to apply this to your own dataset you need the for loop and the -gen resid=.- command.
Maarten
/*
generate a dataset with hundred
`observations' in 10 `years'
*/
capture drop _all
set obs 1000
gen year = floor((_n-1)/100)
/* first hundred are year 0,
second hundred are year 1, etc. */
tab year
gen x = invnorm(uniform())
/* observations of x are draws from
a standard normal distribution */
gen y = 1 + 2*x + invnorm(uniform())
gen resid = .
/* create the variable in which
the residuals will be stored */
/* do the regressions and store the residuals */
forvalues i=0(1)9 {
reg y x if year==`i'
predict resid`i' if year==`i', resid
replace resid = resid`i' if resid==.
}
-----Oorspronkelijk bericht-----
Van: Alex Edmans [mailto:[email protected]]
Verzonden: zo 17-10-2004 7:35
Aan: [email protected]
CC:
Onderwerp: st: Residuals from sequence of regressions
I have a large balanced panel of N observations over T years. I would like
to do a cross-sectional regression for each year, and record the residuals
for the regression for each of the N observations for that year. E.g. for
1960, I want each of the N observations to have a new variable which is the
residual from the 1960 cross-sectional regression across the N observations.
Then I want the same for 1961 etc.
I know how to run individual regressions for each year, but I am unsure how
to store the residuals from the regression for each year. To run the
regressions, I type:
Sort year
By year: quietly reg y x1 x2 x3
Normally, after a regression you can type "predict res, residual", but I am
not sure how to incorporate it in the above framework. Stata doesn't seem to
let me type more than one command after the "by" function. E.g. it won't let
me type something like
By year: quietly reg y x1 x2 x3, predict res, residual
and typing "predict res, residual" at the end merely gives me the residuals
for the cross-sectional regression for the last year.
```

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