Deltacovar A.Brunnermeier

[elisa maderna]

Goodmorning. I'm doing an analysis on a sample of 59 banks (DATASET UNBALANCED).
I'm following the paper based on the costruction of deltaCOVAR written by A.Brunnermeier.
I just know the commands to calculate Var and Covar in order to estimate deltaCOVAR finally.

The commands are:

qreg Xi IBOVESPAReturnlag IBOVESPAVolatilitylag LiquiditySpreadlag ChangeCreditSpreadlag ChangeYieldSlopelag ChangeTbilllag ,quantile(.05)
predict Xi_predict95 ,xb

gen Xi_predict95lag = Xi_predict95[_n-1]


qreg XSYST Xi_predict95 IBOVESPAReturnlag IBOVESPAVolatilitylag LiquiditySpreadlag ChangeCreditSpreadlag ChangeYieldSlopelag ChangeTbilllag,quantile(.05)
predict XSYST_predict95,xb

qreg Xi IBOVESPAReturnlag IBOVESPAVolatilitylag LiquiditySpreadlag ChangeCreditSpreadlag ChangeYieldSlopelag ChangeTbilllag,quantile(.50)
predict Xi_predict50,xb

gen Xi_predict50lag = Xi_predict50[_n-1]

qreg XSYST Xi_predict50 IBOVESPAReturnlag IBOVESPAVolatilitylag LiquiditySpreadlag ChangeCreditSpreadlag ChangeYieldSlopelag ChangeTbilllag,quantile(.50)
predict XSYST_predict9550,xb

gen deltacovar = XSYST_predict95 - XSYST_predict9550

The problem is that i obtained the same value of Xi_predict95 for each banks in spite of each banks have different Xi. Probably i must use the command "forvalues...." but i don't have results probably because i must distinguish id banks and time variabile because it's UNBALANCED.

forvalues i = 1/59 {
qreg Xi IBOVESPAReturnlag IBOVESPAVolatilitylag LiquiditySpreadlag ChangeCreditSpreadlag ChangeYieldSlopelag ChangeTbilllag if IDBanks ==`i', quantile(.05)
predict var5_`i' if IDBaks==`i', xb `i'
replace var5_`i'=0 if var5_`i'==.
replace var5=var5+var5_`i'
drop var5_`i'
}

Someone, can help me with the right commands?
Thank you so much,