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Re: st: Regression by industry and year excluding firm i


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Regression by industry and year excluding firm i
Date   Fri, 13 Dec 2013 12:00:31 -0600

On Fri, Dec 13, 2013 at 11:33 AM, Abdalla, Ahmed
<ahmed.abdalla@kcl.ac.uk> wrote:
> Dear Statalist
> I run a regression to estimate core earnings for each variable in my dataset. The regression is run using all observations in a particular industry year EXCLUDING firm i. Expected core earnings for firm i is estimated using the coefficients multiplied by the actual values of variables in the model for firm i.

<snip>

Do you mean something like this:


webuse grunfeld,clear
gen invest_hat  = .
levelsof company, local(levels)
foreach l of local levels {
   reg invest mvalue kstock if company != `l'
   predict fitted if company == `l'
   replace invest_hat = fitted if company == `l'
   drop fitted
}

Scott

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