Re: st: Question about getting residuals by group

[Joerg Luedicke <joerg.luedicke@gmail.com>]

You could loop over the levels of your GroupID variable. Consider the
following example:

*------------------------------------
sysuse auto, clear
gen resid=.
levelsof foreign, local(groups)
foreach a of local groups {
	reg price mpg if foreign==`a'
	tempvar d
	predict `d', residuals
	replace resid=`d' if foreign==`a'
}
*------------------------------------

J.

On Wed, Jun 20, 2012 at 10:42 AM, Pradipto Banerjee
<pradipto.banerjee@adainvestments.com> wrote:
> I want to carry out a regression and then use the residual, but within groups. More specifically, suppose there is a variable GroupID, and variables DependVar & IndepVar. Currently, Stata allows the follow:
>
> . regress DependVar IndepVar
> . predict PredictVar
> . gen ResidVar = DependVar - PredictVar
>
> If I were to do
>
> . bys GroupID: regress DependVar IndepVar
>
> Then I noticed that
>
> .ereturn list
>
> only retains the regression parameters for the very last GroupID for which it did the regression. So, if I were to combine the following two steps:
>
> . bys GroupID: regress DependVar IndepVar
> . predict PredictVar
>
> My understanding is that PredictVar would use the regression results from the very last GroupID. I want to use the regression results from each GroupID to generated the predicted variable for that GroupID. Are there any alternative ways?
>
> Thanks,
> Prad
>
> p.s. sorry if this is a silly question; I've been working with Stata for only 2 months (and used to working with Matlab!)
>
>
>
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