Re: st: Question about getting residuals by group

[William Buchanan <william@williambuchanan.net>]

Hi Prad,

You can retrieve the model residuals directly with the predict option.  If you're only interested in two groups, then you could use the -if- statement in your regression model and then predict the residuals after the individual models.  With the predict command you might also want to look into using the -if- statement with e(sample), to obtain residuals for only the observations used in the estimation sample.

HTH,
Billy

Sent from my iPhone

On Jun 20, 2012, at 8:42, 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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