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From |
"Abdalla, Ahmed" <ahmed.abdalla@kcl.ac.uk> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Regression by industry and year excluding firm i |

Date |
Fri, 13 Dec 2013 19:01:52 +0000 |

Dear Nick Many Thanks for that. I understand your code now. I ran it. However, STATA has been running the loop for more than 40 minutes now and I got no output !!! I will explain more: I have a model: wce= b0+b1wlag_ce+b2 wato+b3 wlag_acc +b4wacc+b5 wdsale+b6 wndsale I want to run this model using all observations in a particular industry -year excluding firm i. Expected wce for firm i are measured using the coefficients I obtain from the industry year regressions multiplied by the actual values of the variables in the model for firm i. As far as I understand your code should achieve my target, but it took long time and didn't give any results ! I even tried another code that worked well and give me results in seconds, but it doesn't exclude firm i from the estimation. I will write this code for you here: egen sic2id=group(sic_2 datadate) egen count=count(sic2id), by(sic2id) drop if count<10 drop count drop sic2id egen sic2id=group(sic_2 datadate) gen b0=. gen b1= . gen b2=. gen b3=. gen b4=. gen b5=. gen b6=. sum sic2id scalar max2=r(max) local k=max2 set more off forvalues x=1(1)`k'{ capture reg wce wlag_ce wato wlag_acc wacc wdsale wndsale if sic2id==`x' capture replace b0= _b[_cons] capture replace b1= _b[wlag_ce] capture replace b2= _b[wato] capture replace b3= _b[wlag_acc] capture replace b4= _b[wacc] capture replace b5= _b[wdsale] capture replace b6= _b[wndsale] } I appreciate if you can explain what was wrong with your code and update the new code I have posted here to exclude firm i. ________________________________________ From: owner-statalist@hsphsun2.harvard.edu <owner-statalist@hsphsun2.harvard.edu> on behalf of Nick Cox <njcoxstata@gmail.com> Sent: 13 December 2013 18:03 To: statalist@hsphsun2.harvard.edu Subject: Re: st: Regression by industry and year excluding firm i Remarks 1. If you are cycling over observations, you don't need a variable containing observation numbers, nor to use -levelsof-. 2. -in- is always faster than the corresponding -if-. 3. wlag_ce=!=. is presumably a typo, but to Stata it will be illegal syntax. 4. -capture replace b0= _b[_cons]- will end with the last intercept calculated. I guess you don't want that. 5. Checking for missing values is redundant as -regress- will never include them. With these and some other small tricks, here is an attempt at rewriting your code. local X wlag_ce wato wlag_acc wacc wdsale wndsale tokenize "`X'" forval j = 0/6 { gen b`j'=. } forval i = 1/`=_N' { local same sic_2[`i'] == sic_2 & datadate[`i'] == datadate qui count if `same' & _n != `i' if r(N) > 10 { reg wce `X' if `same' & _n != `i' } quietly if _rc == 0 { replace b0 = _b[_cons] in `i' forval j = 1/6 { replace b`j' = _b[``j''] in `i' } } } gen pred_ce= b0 + b1*wlag_ce + b2*wato + b3*wlag_acc + /// b4*wacc + b5*wdsale + b6*wndsale Nick njcoxstata@gmail.com On 13 December 2013 17:33, 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. > I run the following code. > > First: I get an error message for macro length being exceeded. > Second: I try to use other commands for looping, the loop runs but it gives me error message for invalid syntax. > My problem is on how to exclude firm i ? I hope if you have any suggestions regarding running regressions by industry and year and excluding firm i from the estimation procedures. > > > gen obs= [_n] > gen runn=1 > > gen b0=. > gen b1= . > gen b2=. > gen b3=. > gen b4=. > gen b5=. > gen b6=. > > levelsof obs,local(levels) > foreach x of local levels{ > gen mark=1 if obs==runn > gen sic_lp= sic_2 if obs ==runn > qui summ sic_lp > replace sic_lp = r(mean) if sic_lp==. > gen datadate_lp= datadate if obs == runn > qui summ datadate_lp > replace datadate_lp = r(mean) if datadate_lp==. > format datadate_lp %d > gen sample =1 if sic_lp== sic_2 & datadate_lp== datadate & sale !=. & wce !=. & wlag_ce=!=. & wato !=. & wacc !=. & wlag_acc!=. & wdsale !=. & wndsale !=. > egen sample_sum= sum(sample) if mark != 1 > capture reg wce wlag_ce wato wlag_acc wacc wdsale wndsale if sample==1 & mark != 1 & sample_sum >10 > capture replace b0= _b[_cons] > capture replace b1= _b[wlag_ce] if obs==runn > capture replace b2= _b[wato] if obs==runn > capture replace b3= _b[wlag_acc] if obs==runn > capture replace b4= _b[wacc] if obs==runn > capture replace b5= _b[wdsale] if obs==runn > capture replace b6= _b[wndsale] if obs==runn > drop mark sic_lp datadate_lp sample sample_sum > replace runn= runn+1 > } > > gen pred_ce= b0+ b1*wlag_ce + b2*wato +b3*wlag_acc + b4*wacc + b5*wdsale + b6*wndsale > > > I appreciate your help > > > > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Regression by industry and year excluding firm i***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: Regression by industry and year excluding firm i***From:*"Abdalla, Ahmed" <ahmed.abdalla@kcl.ac.uk>

**Re: st: Regression by industry and year excluding firm i***From:*Nick Cox <njcoxstata@gmail.com>

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