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st: RE: predicting residuals in regression


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: predicting residuals in regression
Date   Wed, 9 May 2012 17:59:05 +0100

Note that your inner loop is 

foreach f of local firmnolist

whereas you started with 

levelsof permno, local(permnolist)

I guess you need 

levelsof firmno, local(firmnolist)

before your loops. Otherwise the macro -firmnolist- will be empty and no regressions will be carried out.

Nick 
n.j.cox@durham.ac.uk 

Rudy Hover

I have panel on thousands of firms over 6 years. I want to regress using the foreach command:

gen residuals=.
levelsof permno, local(permnolist)

forvalues y=1999/2006 {
foreach f of local firmnolist {
reg VarA VarB if firmno==`f' & year==`y'
predict temp, residuals
replace residuals=temp if firmno==`f' & year==`y'
drop temp 
}
}

However I'm getting a variable residuals only containing missing values (.)
What am I doing wrong?

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