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


From   Ulrich Kohler <[email protected]>
To   [email protected]
Subject   Re: st: Foreach loop, panel data, and residuals
Date   Thu, 19 Dec 2013 12:57:45 +0100

Use -forvalues- instead of -foreach-, i.e.

. forv i=1/`=r(max)' {
...
}


Am 19.12.2013 12:54, schrieb Adrian Stork:
Dear Nick
deal all

So, as Nick suggested I tried to implement the loop using method one
from the link above. So the code I ended up with looks like this:

*******************************************
egen group = group(cusip date2)
gen residual = .

su group, meanonly

foreach i of numlist 1/`r(max)' {
	regress ex_ret_daily mktrf smb hml if group == `i'
	predict temp, residuals
	replace residual=temp if group == `i'
	drop temp
}
*******************************************

Although, this code makes sense at least to me, it does not work and I
get the error message:
invalid numlist has too many elements
r(123);

In total I have 758,510 obs and r(max) is 36,221.
I also used r(N) instead of r(max) and still the same error message.
I also extracted a subsample with merely 3677 obs and 2 cusips (i.e.
two groups, i.e. r(max)=2)

Does anyone have an idea how I can make this loop work based on the
description I previously gave or where my mistake is?
Would very much appreciate it.

Best,
A






2013/12/17 Nick Cox <[email protected]>:
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
[email protected]

On 17 December 2013 16:36, Adrian Stork <[email protected]> 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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