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Re: st: Foreach loop, panel data, and residuals


From   Nick Cox <njcoxstata@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Foreach loop, panel data, and residuals
Date   Tue, 17 Dec 2013 16:50:06 +0000

Your -foreach- command cycles over a list containing precisely one
element, the variable -group-.

foreach i of var group {
 regress ex_ret_daily mktrf smb hml if group == `i'
 predict temp, residuals
 replace residual=temp if group == `i'
 drop temp
}

It is thus on all fours with

 regress ex_ret_daily mktrf smb hml if group == group
 predict temp, residuals
 replace residual=temp if group == group
 drop temp

which carries out the regression for every observation as -if group ==
group- selects all the data,

Your intent is to cycle over the distinct values of -group-, which is
quite a different matter. See Method 1 in
http://www.stata.com/support/faqs/data-management/try-all-values-with-foreach/index.html

Nick
njcoxstata@gmail.com

On 17 December 2013 16:36, Adrian Stork <storkadrian@googlemail.com> wrote:

> I'm close to the solution I'm looking for but double-checking shows
> some deviations that I can't figure out.
> So I got a panel dataset defined by cusip and date which looks like this:
>
> cusip                 date2                 date
> ex_ret_daily               mktrf             smb              hml
> 90000000         1990m1            01Jan1990              0.10
>                  1.5               0.3                0.2
> 90000000         1990m1            02Jan1990              0.40
>                  0.7                0.6               0.7
> ....                    ....                     ....
>         ...                          ...                ....
>     ....
> 90000004         1983m1            01Jan1983              0.14
>                  1.5               0.3                0.9
> 90000007         1983m1            02Jan1983              0.45
>                  1.7                0.6               0.3
> etc.
>
> Now I want to retrieve the residuals from the regression:
> ex_ret_daily= beta*mktrf + smb + hml
> but for each cusip and month, that is, using the approx 25 daily
> returns from a month of a cusip as the subsample each regression
> should run on.
> I wrote a code that works and the results even look reasonable, which
> looks as follows:
>
> ***
> egen group = group(cusip date2)
> gen residual = .
> foreach i of var group {
>  regress ex_ret_daily mktrf smb hml if group == `i'
>  predict temp, residuals
>  replace residual=temp if group == `i'
>  drop temp
> }
> ***
>
> However, when I compare the residuals from my code and the residuals
> from a subsample of one cusip of one specific month, they are not
> identical, and I don't know where I could've made a mistake?
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