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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 |
Thu, 19 Dec 2013 12:05:18 +0000 |

Ulrich is correct. Note here that forv i = 1/`=r(max)' { and forv i = 1/`r(max)' { work equally well. -foreach- tries before working through the loop to construct a list of all the elements you want to cycle over, namely 1 2 3 4 ... 36221 where naturally I left out almost every element. In your case that is too long. The list 1 2 3 4 ... 758510 would be even longer and so could not possibly solve your problem, quite apart from the detail that you want to cycle over groups, not individuals, so -group- would not take any values 36222 ... 758510. -forval- does not try to construct a list in advance and is free of this limit. Nick njcoxstata@gmail.com On 19 December 2013 11:57, Ulrich Kohler <ukohler@uni-potsdam.de> wrote: > 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 <njcoxstata@gmail.com>: >>> >>> 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? >>> >>> * >>> * 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/

**References**:**st: Foreach loop, panel data, and residuals***From:*Adrian Stork <storkadrian@googlemail.com>

**Re: st: Foreach loop, panel data, and residuals***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: Foreach loop, panel data, and residuals***From:*Adrian Stork <storkadrian@googlemail.com>

**Re: st: Foreach loop, panel data, and residuals***From:*Ulrich Kohler <ukohler@uni-potsdam.de>

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