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From |
Fernando Rios Avila <f.rios.a@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 13 Dec 2013 14:21:16 -0500 |

Ahmed, In addition to Nick Cox comments, keep in mind that based on your explanation, you need to run 95000 regressions. which will be very time consuming. But, computer time is "cheap". I would suggest, however, to clarify if each observation represent a different Firm, which is assumption on how your code and Nick's are handling the problem. Fernando HTH On Fri, Dec 13, 2013 at 2:12 PM, Nick Cox <njcoxstata@gmail.com> wrote: > 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/ * * 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:*"Sarah Edgington" <sedging@ucla.edu>

**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>

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

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