I have a balanced panel data set. I estimate the model of book to
market on the current year stock return and 6 lagged returns.
tsset permno yeara
panel variable: permno, 10051 to 92655
time variable: yeara, 1993 to 1998
xi: xtreg btm r0ret r1ret r2ret r3ret r4ret r5ret r6ret i.yeara
i.permno
I would like to save the fixed effect for each group variable (the
b[_Ipermno_90537] for all permnos) under a common variable name
(conmkt), so I can use the effect in another regression.
I then unsuccessfully tried
statsby "xi: xtreg btm r0ret r1ret r2ret r3ret r4ret r5ret r6ret
i.yeara i.permno" _b, by(permno)
rename b_[i.permno] conmkt
The estimation results were as follows:
command: xi: xtreg btm r0ret r1ret r2ret r3ret r4ret r5ret r6ret
i.yeara i.permno
statistics: b_r0ret = _b[r0ret]
b_r1ret = _b[r1ret]
b_r2ret = _b[r2ret]
b_r3ret = _b[r3ret]
b_r4ret = _b[r4ret]
b_r5ret = _b[r5ret]
b_r6ret = _b[r6ret]
b__Iy~1994 = _b[_Iyeara_1994]
And on and on for the remaining firms.
b__I~90537 = _b[_Ipermno_90537]
b__I~90879 = _b[_Ipermno_90879]
b__I~91380 = _b[_Ipermno_91380]
b__I~92655 = _b[_Ipermno_92655]
b_cons = _b[_cons]
by: permno
too many options
Stata limits the options to 50 and I have more around 500.
I also tried:
xi: xtreg btm r0ret r1ret r2ret r3ret r4ret r5ret r6ret i.yeara
i.permno
estimates store fixed_group
gen conmkt = _b[i.permno]
But that failed also. Obviously I don't know what I am doing. I had a
PhD student who was able to do this in SAS, so I know I should be able
to do it in Stata. I am using Stata SE 8 for Windows. Thank you.
Amy Dunbar
University of Connecticut
School of Business
Department of Accounting
2100 Hillside Road, Unit 1041
Storrs, CT 06269
[email protected]
cell: 860-208-2737
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