re: Re: st: Constructing a variable from standard deviations

[Christopher F Baum <baum@bc.edu>]

<>
When I estimate the standard error of all these residuals I will
probably have 106 different "variables". How can I construct one
variable from all these standard deviations? This is the problem at
which I was stuck at my old approach, so i will probably have the
problem again when i use a new method.


No, just stack them up and apply collapse as I suggested. Presumably the 106 subsamples are all part of one variable. My solution creates temporary variables for each subsample but then combines them in a single residual variable, which can then be collapsed over subsamples.

Kit



Kit Baum   |   Boston College Economics and DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming   |   http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata   |   http://www.stata-press.com/books/imeus.html


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