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


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
>>>
>>>
>>>
>>>
>>>
>>>
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