Hi all,
for part of my thesis I would like to run a regression loop by industry and year and store the residuals in one column. As a Stata Newbie I am struggling a bit to find the best code option for what I would like to do. I am using panel data with for about 1300 companies for the years 2000-2010 (see example below). The companies are sorted in 6 industry groups according to their SIC code. The residuals of the regression estimate the discretionary accruals of a company.
The regression command I am using is regress ACC CF_prev CF CF_next dSALE PPE,robust
Building on an earlier post I have tried it out only by industry with the code below.
However it did not really work and I am also not sure how I would change it so that the regression runs per indsutry/year combination. Any help is greatly appreciated!
Thanks!
Alexa
for part of my thesis I would like to run a regression loop by industry and year and store the residuals in one column. As a Stata Newbie I am struggling a bit to find the best code option for what I would like to do. I am using panel data with for about 1300 companies for the years 2000-2010 (see example below). The companies are sorted in 6 industry groups according to their SIC code. The residuals of the regression estimate the discretionary accruals of a company.
The regression command I am using is regress ACC CF_prev CF CF_next dSALE PPE,robust
Building on an earlier post I have tried it out only by industry with the code below.
Code:
gen newvar forvalues IND = 1/6 { reg ACC CF_prev CF CF_next dSALE PPE,robust predict temp, residuals replace newvar = temp if temp ~= . drop temp }
However it did not really work and I am also not sure how I would change it so that the regression runs per indsutry/year combination. Any help is greatly appreciated!
Thanks!
Alexa
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input long ID int Year float IND double(ACC CF_prev CF CF_next dSALE PPE) 1004 2000 5 -.01648722216486931 .010502055287361145 .0665656328201294 .040039245039224625 -.2025349736213684 .27312490344047546 1004 2001 5 -.09419623017311096 .07027815282344818 .04227232187986374 .07553993165493011 -.3355883061885834 .2824305295944214 1004 2002 5 -.05386659502983093 .04177561402320862 .07465232163667679 .0321008563041687 -.04559848830103874 .3822309076786041 1004 2003 5 .01075703278183937 .07721582055091858 .03320317342877388 .04674048721790314 .06644276529550552 .4055716395378113 1004 2004 5 .02034282125532627 .032141901552677155 .04524652659893036 .035136450082063675 .1351911425590515 .3598010540008545 1004 2005 5 .05389426648616791 .04382912442088127 .034035757184028625 .03922264650464058 .2040834277868271 .46880897879600525 1004 2006 5 .0642876848578453 .02546129934489727 .029341479763388634 .01767946407198906 .16743136942386627 .41446375846862793 1004 2007 5 .09215901046991348 .026900626718997955 .016208747401833534 .04842207208275795 .30324089527130127 .44627973437309265 1004 2008 5 .050993748009204865 .012705482542514801 .03795640543103218 .05301356315612793 .028675999492406845 .30870479345321655 1004 2009 5 .008241673931479454 .03752928599715233 .052417006343603134 .09957089275121689 -.05214114114642143 .38371309638023376 1004 2010 5 -.0031478130258619785 .048103250563144684 .09137652814388275 . .2822246253490448 .4349392056465149 1013 2000 3 .5456927418708801 . .06075409799814224 -.016741173341870308 .8137096166610718 .630243182182312 1013 2001 3 -.26744741201400757 .025591988116502762 -.007052033208310604 -.17798765003681183 -.2229190170764923 .25470343232154846 1013 2002 3 -.1334560364484787 -.011201383545994759 -.282713919878006 -.008401012048125267 -.5421050786972046 .23110774159431458 1013 2003 3 .0030589138623327017 -.6176367402076721 -.01835344359278679 .05436112359166145 -.23990562558174133 .4899493157863617 1013 2004 3 .008327552117407322 -.016192466020584106 .047960519790649414 -.20379364490509033 .00855887122452259 .4233171343803406 1013 2005 3 .2919963598251343 .04355437308549881 -.18507106602191925 .05482809618115425 .2695189416408539 .4007422626018524 1013 2006 3 .054527685046195984 -.17218239605426788 .05100977420806885 .3298371136188507 .0734201967716217 .37543973326683044 1013 2007 3 -.20218442380428314 .048591289669275284 .3141988217830658 .050825364887714386 .025009308010339737 .36930617690086365 1013 2008 3 -.02487533539533615 .2868880033493042 .04640752077102661 -.20285584032535553 .07604260742664337 .33136898279190063 1013 2009 3 -.021499216556549072 .042634040117263794 -.18636126816272736 -.01728266105055809 -.23930245637893677 .2988547682762146 1013 2010 3 .1279398649930954 -.26644834876060486 -.024709729477763176 . .1190086305141449 .41403692960739136 1034 2000 3 .11065049469470978 . -.006929447874426842 .04210413619875908 .14509689807891846 .4624784290790558 1034 2001 3 -.004293868318200111 -.004992441274225712 .030334658920764923 -.019708961248397827 .04607202112674713 .4346769452095032 1034 2002 3 -.007222569547593594 .020440097898244858 -.013280291110277176 .03166056051850319 .10701721161603928 .317648708820343 1034 2003 3 -.0028490275144577026 -.013818481005728245 .03294362127780914 -.05864625424146652 .028961777687072754 .354287713766098 1034 2004 3 -.03984728455543518 .032486170530319214 -.05783189833164215 .15413512289524078 .018115133047103882 .35655277967453003 1034 2005 3 -.11464975029230118 -.06722386181354523 .17916682362556458 .003248266177251935 -.39217811822891235 .19952820241451263 1034 2006 3 .059355054050683975 .22115667164325714 .004009535536170006 .016155153512954712 .06172972917556763 .2763783931732178 1034 2007 3 .0070434873923659325 .007019778247922659 .028283974155783653 . .07397984713315964 .5771607756614685 1056 2000 3 .16099533438682556 . -.019465455785393715 .17673227190971375 .17443831264972687 .5512661933898926 1056 2001 3 .01456734724342823 -.012930897995829582 .11740320920944214 -.09025077521800995 .1885109692811966 .42871329188346863 1056 2002 3 .07775936275720596 .09411381185054779 -.07234763354063034 .06314221769571304 -.09725642204284668 .39863720536231995 1056 2003 3 .011367028579115868 -.07048184424638748 .06151382625102997 .03238975256681442 .27992403507232666 .4047289490699768 1056 2004 3 .09680414199829102 .0592530332505703 .031199345365166664 .11427155137062073 .3699790835380554 .40642014145851135 1056 2005 3 .009568523615598679 .018707238137722015 .06851762533187866 .015624112449586391 .08935583382844925 .27861717343330383 1056 2006 3 .08468269556760788 .06405029445886612 .014605424366891384 . .14999601244926453 .2903488874435425 1075 2000 4 .00042354516335763037 . .10500754415988922 .11409644037485123 .1916956752538681 1.2684789896011353 1075 2001 4 .0001766642672009766 .0970664918422699 .10546804964542389 .10025330632925034 .12046157568693161 1.3067622184753418 1075 2002 4 -.009607795625925064 .09446640312671661 .08979561924934387 .07904735207557678 -.23980887234210968 1.246184229850769 1075 2003 4 .004484198056161404 .08506320416927338 .07488138973712921 .08321043848991394 .02143094688653946 1.2568868398666382 1075 2004 4 -.006794193759560585 .06616096943616867 .07352004945278168 .07769636809825897 .00858533475548029 1.1382702589035034 1075 2005 4 -.01719019189476967 .07084297388792038 .07486721873283386 .05814890190958977 .008915050886571407 1.1279499530792236 1075 2006 4 .008858531713485718 .06543894857168198 .050826024264097214 .05545179918408394 .03654561564326286 1.027502417564392 1075 2007 4 .0038717882707715034 .05023462325334549 .05480657517910004 .043216343969106674 .010638320818543434 1.0827534198760986 1075 2008 4 .009679277427494526 .05584108084440231 .044032078236341476 .04217059165239334 -.013922804966568947 1.154585361480713 1075 2009 4 .001048443140462041 .04260585457086563 .0408046655356884 .06171370670199394 -.006021896842867136 1.1617485284805298 1075 2010 4 .002360910177230835 .04015478864312172 .06073082610964775 . -.0028332960791885853 1.2031036615371704 1078 2000 3 .03128454461693764 . .21841464936733246 .17787356674671173 .03927090764045715 .6998733282089233 1078 2001 3 .009447726421058178 .20680727064609528 .1684206873178482 .20909179747104645 .16615113615989685 .7344905138015747 1078 2002 3 .03328600898385048 .11048975586891174 .1371714025735855 .14585435390472412 .06007003411650658 .5214393734931946 1078 2003 3 .025942383334040642 .13172800838947296 .14006640017032623 .16413439810276031 .0822741910815239 .5478664040565491 1078 2004 3 .018071375787258148 .1271885335445404 .14904367923736572 .23462410271167755 -.000020400264475028962 .4679591655731201 1078 2005 3 -.053430408239364624 .1384115368127823 .2178869992494583 .07659982144832611 .09065064787864685 .4435708224773407 1078 2006 3 .03678365424275398 .21509279310703278 .07561749964952469 .15314984321594238 .006468985229730606 .49421223998069763 1078 2007 3 .027592027559876442 .06090924143791199 .12336086481809616 .18783272802829742 .09502735733985901 .43113845586776733 1078 2008 3 -.00560004822909832 .11237797886133194 .1711098700761795 .15463458001613617 .090983547270298 .3824520707130432 1078 2009 3 .039939507842063904 .16019737720489502 .14477278292179108 .14450471103191376 .029164975509047508 .3886660933494568 1078 2010 3 .021380659192800522 .11716028302907944 .1169433444738388 -.000714181805960834 .08398126810789108 .3314655125141144 1111 2000 6 -.1897190362215042 -.12086059153079987 .27627313137054443 .23166750371456146 .11712517589330673 .11308949440717697 1111 2001 6 -.03695162013173103 .23772841691970825 .19934602081775665 -.02348334528505802 .46186351776123047 .11860305815935135 1111 2002 6 .14856334030628204 .128851979970932 -.015179011039435863 .02794821746647358 .13949328660964966 .09260406345129013 1111 2003 6 .10236856341362 -.011993193067610264 .022082358598709106 -.3456589877605438 .11852739006280899 .08263007551431656 1111 2004 6 .4051961898803711 .016064953058958054 -.2514674961566925 .09123291820287704 .47294893860816956 .07114139944314957 1111 2005 6 -.025966305285692215 -.1864061802625656 .06762854009866714 -.0032135590445250273 .047547634690999985 .07130959630012512 1111 2006 6 .07599973678588867 .062321655452251434 -.002961387624964118 .7169119715690613 .031737592071294785 .07516560703516006 1111 2007 6 -.36153852939605713 -.002341207815334201 .5667747855186462 . .7721097469329834 .0739007294178009 1161 2000 3 .16423380374908447 . .19786058366298676 .1348647028207779 .4081101417541504 1.247642159461975 1161 2001 3 -.004873833153396845 .15017575025558472 .1023620143532753 .002808553399518132 -.13045553863048553 1.0621635913848877 1161 2002 3 -.09970211237668991 .10454607009887695 .0028684784192591906 .11443515866994858 -.2115590125322342 1.2465665340423584 1161 2003 3 .013334673829376698 .0028828028589487076 .11500661820173264 .19163042306900024 .14630939066410065 1.7925020456314087 1161 2004 3 .03363270312547684 .09109269827604294 .15178370475769043 .131353497505188 .208936408162117 1.555828332901001 1161 2005 3 .057744503021240234 .13727399706840515 .11879679560661316 .25012487173080444 .10786835849285126 .6995739340782166 1161 2006 3 -.17715026438236237 .12786708772182465 .269222229719162 -.3039334714412689 -.027247944846749306 1.006753921508789 1161 2007 3 .010724879801273346 .1492380052804947 -.16847950220108032 -.05978550389409065 .02768692560493946 .5999847650527954 1161 2008 3 -.0350649356842041 -.1917748898267746 -.06805194914340973 .012121211737394333 -.017748918384313583 .6197402477264404 1161 2009 3 .16872964799404144 -.10241042077541351 .018241042271256447 .016677524894475937 -.052768729627132416 .9765472412109375 1161 2010 3 .07270324230194092 .015421899035573006 .014100021682679653 . .1201806589961052 .22901520133018494 1209 2000 3 .0026349348481744528 . .08452431112527847 .13563232123851776 .0542772151529789 1.2520065307617188 1209 2001 3 -.001414666185155511 .08416661620140076 .13505834341049194 .13202345371246338 .0302400104701519 1.23650324344635 1209 2002 3 .001793644274584949 .1381724625825882 .13506759703159332 .12617360055446625 -.03908907622098923 1.3458269834518433 1209 2003 3 .0024014131631702185 .1285344362258911 .12007062882184982 .14507357776165009 .10548557341098785 1.380011796951294 1209 2004 3 .009181606583297253 .1081436350941658 .1306629627943039 .1483900249004364 .11812041699886322 1.2936416864395142 1209 2005 3 .004023742862045765 .1227441132068634 .13939683139324188 .15426675975322723 .07291541993618011 1.2861340045928955 1209 2006 3 -.0036123301833868027 .1344631463289261 .14880678057670593 .1601049154996872 .06791368871927261 1.3056548833847046 1209 2007 3 .019336892291903496 .13853336870670319 .1490514874458313 .18510469794273376 .10620086640119553 1.3494950532913208 1209 2008 3 -.008697026409208775 .1316402703523636 .16348198056221008 .13209842145442963 .02975631132721901 1.1839804649353027 1209 2009 3 -.01528083998709917 .16462896764278412 .13302522897720337 .14322306215763092 -.17168471217155457 1.2529571056365967 1209 2010 3 .007061117794364691 .12835116684436798 .13819067180156708 . .059083130210638046 1.2517902851104736 1230 2000 4 .07490482181310654 . -.0027062990702688694 .23187008500099182 .04366771876811981 1.067565679550171 1230 2001 4 -.1296958178281784 -.0022433472331613302 .19220532476902008 -.049847912043333054 -.009277566336095333 .9580988883972168 1230 2002 4 .08764616400003433 .1713268905878067 -.04443315044045448 .01660735160112381 .024165397509932518 .8780884742736816 1230 2003 4 .05786788463592529 -.04550977423787117 .01700975000858307 .01753046363592148 .07661332190036774 .9962509274482727 1230 2004 4 .04277123138308525 .015034360811114311 .015494602732360363 .029884634539484978 .08560383319854736 .8692930936813354 1230 2005 4 .03913043439388275 .015142431482672691 .02920539863407612 .08860569447278976 .07541229575872421 .9150824546813965 1230 2006 4 -.05026371404528618 .02568565495312214 .07792721688747406 .14570148289203644 .09469936788082123 .8610495924949646 1230 2007 4 -.061342619359493256 .07247798144817352 .13551297783851624 -.01655588485300541 .042088739573955536 .9775820970535278 1230 2008 4 .030327996239066124 .12302656471729279 -.015030395239591599 .018504085019230843 .02545147016644478 .9684918522834778 1230 2009 4 .053292252123355865 -.01395897101610899 .017185041680932045 .09934651106595993 -.045599304139614105 .9320249557495117 1230 2010 4 .0002407223219051957 .01667000912129879 .09636910259723663 . .08676028251647949 .9281043410301208 end
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