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Re: st: Regression by industry and year excluding firm i
From
Scott Merryman <[email protected]>
To
[email protected]
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
<[email protected]> 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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