Look at -statsby-. Alternatively,
gen rsq = .
egen group = group(firm)
su group, meanonly
qui forval i = 1/`r(max)' {
regress <whatever> if group == `i'
replace rsq = e(r2) if group == `i'
}
Nick
[email protected]
[email protected]
> I am trying to construct an earnings quality metric based on
> the R2 from firm
> specific regressions of returns on accounting values. I know
> how to run the
> firm specific regressions. I am wondering if it possible to
> create a variable
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