Re: st: Regression by industry and year excluding firm i

[Nick Cox <njcoxstata@gmail.com>]

This question is difficult to answer literally -- which results do you
seek? -- but you need to initialise variables and then save e-class
results to those variables each time round the loop. In principle, it
is exactly the same idea as already used.

You may find

http://www.stata-journal.com/sjpdf.html?articlenum=st0137

instructive. That said, my prejudice is that it is better to save
confidence intervals rather than P-values.

Nick
njcoxstata@gmail.com


On 8 January 2014 16:24, Abdalla, Ahmed <ahmed.abdalla@kcl.ac.uk> wrote:
> Thanks Nick , life gets really better after your code did the job for me !
> One model will not be the desired methodology in my case,as if you remember I use the same model but for each group of two digit SIC code and fiscal year excluding firm i, then I use the estimated coefficients from each group industry-year for firm i . So I will have to use the second way you mentioned which is to save inferential results from each model, but would that require editing your code ? would you mind showing me how to do that, so I can see the significance of the regressions coefficients mean please ?
>
> Many thanks
> Ahmed
>
>
>
> ________________________________________
> From: owner-statalist@hsphsun2.harvard.edu <owner-statalist@hsphsun2.harvard.edu> on behalf of Nick Cox <njcoxstata@gmail.com>
> Sent: 08 January 2014 16:13
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Regression by industry and year excluding firm i
>
> Thanks for this.
>
> If you fit separate models, you can't then pretend that this is
> equivalent to fitting one model. Either one model makes sense, in
> which case fit it, or you need to save inferential results from each
> model as you calculate it. I don't see that there is a third way.
>
> Nick
> njcoxstata@gmail.com
>
>
> On 8 January 2014 16:07, Abdalla, Ahmed <ahmed.abdalla@kcl.ac.uk> wrote:
>> Dear Nick
>> I just want to thank you for the code. I replicated one study from the literature that used SAS, and I got almost the same results for regressions by industry (two digit SIC code) and fiscal year excluding firm i. I can confirm now that the code works perfectly!! Thanks again!
>>
>> One more question, after I get the intercepts and coefficients b0 b1 b2 b3 b4 b5 b6 from regressions by industry and fiscal year , is there a code to test the significance of the coefficients mean from the regressions ? I used to see the significance from the regress command output, but since I executed the regressions in a different way using the loop you recommended, how can I see the significance of the regressions coefficients mean for the entire sample ?
>>

<snip>

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