Your code isn't quite correct in that -predict- will predict
out-of-sample and so you will be overwriting good residuals with your
-replace- statement.
gen newvar = .
qui forvalues i = 1/10000 {
reg y x if companyid == `i'
predict temp, residuals
replace newvar = temp if companyid == `i'
drop temp
}
Yvonne Capstick
I am performing regressions company-by-company and would like to save
the residuals. I know that you typically use
"predict newvar, residuals"
to do this. However, predict only works immediately after you have run
the regression. Since I am regressing company-by-company, rather than on
the whole sample, I have to use:
sort companyid
by companyid: reg y x
but I then can't use "predict newvar, residuals" since "predict" only
works after the last regression.
Is there a simple way for me to combine "predict" with the "by
companyid" form? I know an alternative way to do this would be to use
gen newvar
forvalues i = 1/10000 {
reg y x if companyid == `i'
predict temp, residuals
replace newvar = temp if temp ~= .
drop temp
}
but I wondered if there is a more elegant way to do this ratehr than
hving to loop through all the firms and create and drop a new "temp"
variable.
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