Here's a variation on that using the auto dataset:
sysuse auto
cap drop mpg_exc
gen mpg_excl = .
foreach n of numlist 1/5 {
qui regress mpg weight displacement turn if rep78 != `n'
qui predict hat
qui replace mpg_excl = hat if rep78 == `n'
qui drop hat
}
l mpg mpg_excl rep78
-----------------------------------
Thomas J. Steichen
[email protected]
-----------------------------------
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Nuno
Sent: Friday, July 06, 2007 4:08 PM
To: [email protected]
Subject: st: Running a regression for a subset of observations issue
Hello everyone,
Does anyone know if Stata is able to cyclically run n regressions on a n
observations sample, but at each ith cycle the ith observation is excluded
from the sample that will be used in the estimation?
The idea is the following: I have a sample of firms which are classified in
a particular SIC code. There is a model (Jones (1991)) that for each firm in
a given SIC estimates a regression based on the firms that compose that SIC,
excluding the firm being analyzed and then uses the estimated coefficients
to determine the expected value of a given variable for the excluded firm.
This might seem confuse, but the steps are quite straightforward (although I
can't implement it in Stata...).
So imagine we have in a given SIC code 10 companies. Then, the procedure
would do the following:
1. Run the regression Y=a0+a1*X1+a2*x2 and obtain the coefficients estimates
for all the 9 observations excluding the 1st one;
2. Use the estimated coefficients to determine the expected value of Y for
the first firm;
3. Repeat 1 and 2 for the 2nd, 3rd, 4th ... firms in that SIC, excluding the
2nd, 3rd, 4th ... firm in each step.
Controlling for each SIC code is easy (just use -foreach-) but I'm unable to
implement steps 1-3...
Any ideas?
Best
Nuno
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