Hi,
I am performing regressions company-by-company and would like to save the residuals. I know that you typically use
"predict newvar, residuals"
to do this. However, predict only works immediately after you have run the regression. Since I am regressing company-by-company, rather than on the whole sample, I have to use:
sort companyid
by companyid: reg y x
but I then can't use "predict newvar, residuals" since "predict" only works after the last regression.
Is there a simple way for me to combine "predict" with the "by companyid" form? I know an alternative way to do this would be to use
gen newvar
forvalues i = 1/10000 {
reg y x if companyid == `i'
predict temp, residuals
replace newvar = temp if temp ~= .
drop temp
}
but I wondered if there is a more elegant way to do this ratehr than hving to loop through all the firms and create and drop a new "temp" variable.
Many thanks,
Yvonne
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