Hi statalisters
I am going to calculate the residuals from EGARCH model for each company>
I ran statsby command as follows:
The result was one dot and 2080 (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) and am not intereseted in the EGARCH output
any help would be greatly appreciated
THE OUTPUTS WERE
statsby, by(id) saving(mohamed, replace):arch returns mktrf SMB HML , earch(1) egarch(1)
(running arch on estimation sample)
command: arch returns mktrf SMB HML, earch(1) egarch(1)
by: id
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and new file was created including the output for the first panel only
id returns_b_mktrf returns_b_SMB returns_b_HML returns_b_cons _stat_5 _stat_6 _stat_7 ARCH_b_cons
1 -.0896459 -.1043988 .307522 1.545956 -46.85539 472.3186 .1366271 4.967385
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
.
any help?
I am going to calculate the residuals from EGARCH model for each company>
I ran statsby command as follows:
Code:
statsby by(panelid) saving(mohamed, replace):arch returns mktrf SMB HML , earch(1) egarch(1)
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) and am not intereseted in the EGARCH output
any help would be greatly appreciated
ID (PANEL) | Date | Returns (panel) | mkrf(time series) | SMB (TIME SERIES) | HML(TIME SERIES) | ||
1 | 1 | 1.2 | 1.2 | 13.2 | 2.5 | ||
1 | 2 | 2.3 | 1.0 | 11.2 | 2.8 | ||
1 | 3 | 0.25 | 1.6 | 25.2 | 1.8 | ||
1 | 4 | 0.68 | 2.5 | 9.2 | 1.4 | ||
2 | 1 | 0.98 | |||||
2 | 2 | 1.6 | |||||
2 | 3 | 1.4 | |||||
2 | 4 | 3.2 | |||||
3 | 1 | 1.2 | |||||
3 | 2 | 5.2 | |||||
3 | 3 | 1.4 | |||||
3 | 4 | 2.01 | |||||
4 | 1 | 1.25 | |||||
4 | 2 | 1.3 | |||||
4 | 3 | 0.5 | |||||
4 | 4 | 2.1 | |||||
5 | |||||||
5 | |||||||
2080 |
statsby, by(id) saving(mohamed, replace):arch returns mktrf SMB HML , earch(1) egarch(1)
(running arch on estimation sample)
command: arch returns mktrf SMB HML, earch(1) egarch(1)
by: id
Statsby groups
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
.xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 50
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 100
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 150
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 200
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 250
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 300
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 350
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 400
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 450
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 500
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 550
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xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 1000
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xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 1150
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 1200
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xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 1850
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 1900
xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 1950
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xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx 2050
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and new file was created including the output for the first panel only
id returns_b_mktrf returns_b_SMB returns_b_HML returns_b_cons _stat_5 _stat_6 _stat_7 ARCH_b_cons
1 -.0896459 -.1043988 .307522 1.545956 -46.85539 472.3186 .1366271 4.967385
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
.
any help?
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