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st: time series from panel data
From
"Whelan, Paul" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: time series from panel data
Date
Sun, 10 Feb 2013 17:36:09 +0000
Hi,
I would like to take the 'mean' of the residuals from a panel
regression at each point in time to plot the average residual
in the cross-section as a time series. Here is an example and
the code I am using :
xtreg y x1 x2, fe vce(robust)
predict yhat
generate eps = y - yhat
by date, sort: egen mean_residual = mean(eps)
I would then like to export the resulting mean_residual to excel
as a single time series i.e., one observation for each date. The
problem is that I get many mean_residuals for each date corresponding
to each entity in the cross-section at that point in time.
Is there a simple way to extract a single time series?
thanks
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