Saving coefficients and residuals of cross sectional regressions based on industry and year

[Priyesh VP]

Hi forum members,

I was searching for a code to run regression based on industry (SIC) and year, and save residuals and coefficients of these regression as variables to be used in next level analysis.
Plus I want the regression to run if at least 20 observations are there per each SIC-year
I found a useful code from the statalist,quoted below

levelsof SIC, local(codes)  
foreach code in `codes' {          
count if SIC == `code'        
 if r(N) >= 20 {                  
reg DV IV1 if SIC == `code'        
predict res_`code' if SIC == `code', residuals          
    }  
}

But it generated residuals for each SIC. But I wanted coefficients and residuals for each SIC-year (2000-2014).
I would be really grateful if someone could help me with that, I have around 50 SICs spanning over 10 years (Each SIC will have many firms), approximately need around 50*10 sic-year regressions and generate residual and coefficients as separate variables.

[William Lisowski]

Seems to me you need an outer loop over years.

forvalues y=2000/2014 {
levelsof SIC if year==`y', local(codes)  
foreach code in `codes' {          
count if SIC == `code' & year==`y'       
 if r(N) >= 20 {                  
reg DV IV1 if SIC == `code' & year==`y'      
predict res_`code'_`y' if SIC == `code' & year==`y', residuals          
    }  
}
}

[Priyesh VP]

Thanks Lisowski,
But the above code generated residuals only for the year 2000 for different SICs. Could you please help me to sort it out?? Kindly give a code to generate coefficients also since I want both residuals and coefficients to be used in subsequent analysis

[William Lisowski]

So on doing a little research, it turns out that this topic is a restatement of an earlier topic you posted.

https://www.statalist.org/forums/for...r-and-industry

I have posted a response there.