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


From   Nick Cox <njcoxstata@gmail.com>
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 19:12:57 +0000

Sorry, no.

The code hasn't finished running, so

1. Good news. No obvious bug.

2. I'd expect that code to be slow. You want a regression for every
observation.

I don't think you've demonstrated anything wrong with my code, so I
can't possibly fix it. That doesn't mean the code must be right, but
you need to show me incorrect results first. The point is that your
code would, I imagine, have been even slower had it been correct.
Several of the changes I made would have speeded up things compared
with your code.

I don't have your data to test anything, but without wanting to seem
arrogant, I think you need to be confident that I made a mistake
before you change my code.

Nick
njcoxstata@gmail.com


On 13 December 2013 19:01, Abdalla, Ahmed <ahmed.abdalla@kcl.ac.uk> wrote:
> 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
>>
>>
>>
>>
>>
>>
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