residuals for each company using EGARCH model

[Muhammed Shaker]

Hi statalisters
I ran statsby command as follows:
statsby by(panelid) saving(mohamed, replace):arch returns mktrf SMB HML , earch(1) egarch(1)
The result was one dot and 2077 (number of firms) red X.
I guess STATA ran the the three independent variables (mkmf, smb and hml) using the first panel data only
I want to tell STATA run the same independent variables for each panel
in other words, i have 200 time series observation for each of the independents and 170,000 dependent variable observation in the form of panel data.
kindly do not forget I need to compute residuals for each panel (company)
any help would be greatly appreciated

[Carole J. Wilson]

Rather than starting a new thread, please read the FAQ to understand why you may not have received a response to your last post at:
http://www.statalist.org/forums/foru...data-dependent

Specifically, please post some of your original dataset using dataex and place your code and output within [CODE][/CODE] delimiters. Do not post screenshots!

Please confirm that you have more than one one observation per id and that you do not have many missing values.
Begin by running the following by had a few times (substitute different values of your variable id for the question marks):

arch returns mktrf SMB HML if id==??, earch(1) egarch(1)