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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 >> >> >> >> >> >> >> * >> * 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/ * * 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:*Fernando Rios Avila <f.rios.a@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>

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

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