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st: How do I save fixed panel effects as a variable


From   "Amy Dunbar" <Amy.Dunbar@business.uconn.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: How do I save fixed panel effects as a variable
Date   Thu, 30 Mar 2006 16:46:48 -0500

I have a balanced panel data set.  I estimate the model of book to
market on the current year stock return and 6 lagged returns. 

tsset permno yeara
        panel variable:  permno, 10051 to 92655
        time variable:  yeara, 1993 to 1998

xi: xtreg  btm r0ret r1ret r2ret r3ret r4ret r5ret r6ret i.yeara
i.permno

I would like to save the fixed effect for each group variable (the
b[_Ipermno_90537] for all permnos) under a common variable name
(conmkt), so I can use the effect in another regression.    

I then unsuccessfully tried 

statsby "xi: xtreg  btm r0ret r1ret r2ret r3ret r4ret r5ret r6ret
i.yeara i.permno" _b, by(permno)

rename b_[i.permno] conmkt

The estimation results were as follows:
command:      xi: xtreg btm r0ret r1ret r2ret r3ret r4ret r5ret r6ret
i.yeara i.permno
statistics:   b_r0ret    = _b[r0ret]
              b_r1ret    = _b[r1ret]
              b_r2ret    = _b[r2ret]
              b_r3ret    = _b[r3ret]
              b_r4ret    = _b[r4ret]
              b_r5ret    = _b[r5ret]
              b_r6ret    = _b[r6ret]
              b__Iy~1994 = _b[_Iyeara_1994]

And on and on for the remaining firms.
              b__I~90537 = _b[_Ipermno_90537]
              b__I~90879 = _b[_Ipermno_90879] 

              b__I~91380 = _b[_Ipermno_91380]
              b__I~92655 = _b[_Ipermno_92655]
              b_cons     = _b[_cons]
by:           permno
too many options  

Stata limits the options to 50 and I have more around 500.

I also tried:

xi: xtreg  btm r0ret r1ret r2ret r3ret r4ret r5ret r6ret i.yeara
i.permno
estimates store fixed_group
gen conmkt = _b[i.permno]

But that failed also.  Obviously I don't know what I am doing.  I had a
PhD student who was able to do this in SAS, so I know I should be able
to do it in Stata.  I am using Stata SE 8 for Windows.  Thank you.

Amy Dunbar
University of Connecticut
School of Business
Department of Accounting
2100 Hillside Road, Unit 1041
Storrs, CT 06269

amy.dunbar@business.uconn.edu
cell: 860-208-2737


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