I think that you have to do the following:
xi: reg btm r0ret r1ret r2ret r3ret r4ret r5ret r6ret i.yeara i.permno
* which give you fixed-effect with time-dummies.
mat beta =e(b)
* taking the vector coeff
mat fe=beta[1,13...?]
* taking the columns of fixed effects vector
mat score effect = fe
* creating the variable that you want.
Type -help mat score- for a full description of the last sentence.
Rodrigo.
----- Original Message -----
From: "Amy Dunbar" <[email protected]>
To: <[email protected]>
Sent: Thursday, March 30, 2006 4:46 PM
Subject: st: How do I save fixed panel effects as a variable
>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
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
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