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  • #1

    Residual extraction by com_id

    From the appended dataset, I require monthly residuals series for each company (identified by a unique com_id) by regressing the monthly rt minus rf of each company on their monthly market and industry. The market and industry for each company are calculated as below:

    1. The market is the cross-sectional average of rt of all companies in the sample minus the rf. The market variable is the same for all companies.
    2. The industry for a company is the cross-sectional average of rt of all companies in a given industry type (identified by ind_id), excluding the rt of the company whose industry is to be calculated. The industry is therefore unique for each company.

    Code:
    * Example generated by -dataex-. For more info, type help dataex
clear
input float(com_id ind_id) str52 company_name str30 industry_type int date float mdate double pr float(rt rf)
 1 1 "3M India Ltd."                      "chemical and chemical products" 18353 603  2311.7   .03894294       .0269
 1 1 "3M India Ltd."                      "chemical and chemical products" 18383 604 2523.25   .09151274  -.06165488
 1 1 "3M India Ltd."                      "chemical and chemical products" 18414 605  2772.7    .0988606 -.000396616
 1 1 "3M India Ltd."                      "chemical and chemical products" 18444 606 3497.65   .26145995   .03200635
 1 1 "3M India Ltd."                      "chemical and chemical products" 18475 607 3305.15  -.05503695  .017044727
 2 5 "A B B India Ltd."                   "machinery"                      18353 603   791.5  -.04661527       .0269
 2 5 "A B B India Ltd."                   "machinery"                      18383 604  857.05   .08281744  -.06165488
 2 5 "A B B India Ltd."                   "machinery"                      18414 605  862.15  .005950645 -.000396616
 2 5 "A B B India Ltd."                   "machinery"                      18444 606  812.05  -.05811054   .03200635
 2 5 "A B B India Ltd."                   "machinery"                      18475 607     777  -.04316237  .017044727
 3 2 "A C C Ltd."                         "construction material"          18353 603  906.15   -.0466095       .0269
 3 2 "A C C Ltd."                         "construction material"          18383 604     817  -.09838327  -.06165488
 3 2 "A C C Ltd."                         "construction material"          18414 605   874.5  .070379436 -.000396616
 3 2 "A C C Ltd."                         "construction material"          18444 606  831.45  -.04922813   .03200635
 3 2 "A C C Ltd."                         "construction material"          18475 607   871.8   .04852968  .017044727
 4 4 "A D F Foods Ltd."                   "food and agro based products"   18353 603    95.7  .025174076       .0269
 4 4 "A D F Foods Ltd."                   "food and agro based products"   18383 604    73.6     -.23093  -.06165488
 4 4 "A D F Foods Ltd."                   "food and agro based products"   18414 605    81.3   .10461956 -.000396616
 4 4 "A D F Foods Ltd."                   "food and agro based products"   18444 606   75.65  -.06949569   .03200635
 4 4 "A D F Foods Ltd."                   "food and agro based products"   18475 607   69.55   -.0806345  .017044727
 5 7 "A G I Greenpac Ltd."                "miscellaneous"                  18353 603    87.1   .12459651       .0269
 5 7 "A G I Greenpac Ltd."                "miscellaneous"                  18383 604    86.5 -.006888634  -.06165488
 5 7 "A G I Greenpac Ltd."                "miscellaneous"                  18414 605   92.95   .07456648 -.000396616
 5 7 "A G I Greenpac Ltd."                "miscellaneous"                  18444 606  122.05   .31307155   .03200635
 5 7 "A G I Greenpac Ltd."                "miscellaneous"                  18475 607  130.25   .06718558  .017044727
 6 6 "A I A Engineering Ltd."             "material and material products" 18353 603   392.9 -.015411602       .0269
 6 6 "A I A Engineering Ltd."             "material and material products" 18383 604   401.3  .021379486  -.06165488
 6 6 "A I A Engineering Ltd."             "material and material products" 18414 605   383.1   -.0453526 -.000396616
 6 6 "A I A Engineering Ltd."             "material and material products" 18444 606  357.85  -.06590968   .03200635
 6 6 "A I A Engineering Ltd."             "material and material products" 18475 607  361.45   .01006008  .017044727
 7 8 "A I Champdany Inds. Ltd."           "textile"                        18353 603    29.6   .23333333       .0269
 7 8 "A I Champdany Inds. Ltd."           "textile"                        18383 604      29  -.02027027  -.06165488
 7 8 "A I Champdany Inds. Ltd."           "textile"                        18414 605   33.05   .13965517 -.000396616
 7 8 "A I Champdany Inds. Ltd."           "textile"                        18444 606    35.9   .08623298   .03200635
 7 8 "A I Champdany Inds. Ltd."           "textile"                        18475 607    39.3   .09470752  .017044727
 8 1 "A M D Industries Ltd."              "chemical and chemical products" 18353 603   25.65   .11038961       .0269
 8 1 "A M D Industries Ltd."              "chemical and chemical products" 18383 604   23.55  -.08187135  -.06165488
 8 1 "A M D Industries Ltd."              "chemical and chemical products" 18414 605    22.8 -.031847134 -.000396616
 8 1 "A M D Industries Ltd."              "chemical and chemical products" 18444 606      25   .09649123   .03200635
 8 1 "A M D Industries Ltd."              "chemical and chemical products" 18475 607    25.5         .02  .017044727
 9 6 "A P L Apollo Tubes Ltd."            "material and material products" 18353 603   12.27   .10341727       .0269
 9 6 "A P L Apollo Tubes Ltd."            "material and material products" 18383 604   11.27   -.0814996  -.06165488
 9 6 "A P L Apollo Tubes Ltd."            "material and material products" 18414 605   10.75  -.04614019 -.000396616
 9 6 "A P L Apollo Tubes Ltd."            "material and material products" 18444 606   12.02   .11813954   .03200635
 9 6 "A P L Apollo Tubes Ltd."            "material and material products" 18475 607   13.39    .1139767  .017044727
10 8 "A P M Industries Ltd."              "textile"                        18353 603    9.52  -.04225352       .0269
10 8 "A P M Industries Ltd."              "textile"                        18383 604    9.78  .027310925  -.06165488
10 8 "A P M Industries Ltd."              "textile"                        18414 605   11.36    .1615542 -.000396616
10 8 "A P M Industries Ltd."              "textile"                        18444 606   11.37 .0008802817   .03200635
10 8 "A P M Industries Ltd."              "textile"                        18475 607   14.05     .235708  .017044727
11 8 "A Y M Syntex Ltd."                  "textile"                        18353 603   16.12   .30844155       .0269
11 8 "A Y M Syntex Ltd."                  "textile"                        18383 604    15.1 -.063275434  -.06165488
11 8 "A Y M Syntex Ltd."                  "textile"                        18414 605    14.8  -.01986755 -.000396616
11 8 "A Y M Syntex Ltd."                  "textile"                        18444 606   14.73  -.00472973   .03200635
11 8 "A Y M Syntex Ltd."                  "textile"                        18475 607    16.8   .14052953  .017044727
12 1 "Aarti Drugs Ltd."                   "chemical and chemical products" 18353 603   14.71   .15191856       .0269
12 1 "Aarti Drugs Ltd."                   "chemical and chemical products" 18383 604   14.95  .016315432  -.06165488
12 1 "Aarti Drugs Ltd."                   "chemical and chemical products" 18414 605   16.79   .12307692 -.000396616
12 1 "Aarti Drugs Ltd."                   "chemical and chemical products" 18444 606   17.83   .06194163   .03200635
12 1 "Aarti Drugs Ltd."                   "chemical and chemical products" 18475 607   17.77 -.003365115  .017044727
13 1 "Aarti Industries Ltd."              "chemical and chemical products" 18353 603   12.28  .035413153       .0269
13 1 "Aarti Industries Ltd."              "chemical and chemical products" 18383 604   11.94 -.027687296  -.06165488
13 1 "Aarti Industries Ltd."              "chemical and chemical products" 18414 605   12.29   .02931323 -.000396616
13 1 "Aarti Industries Ltd."              "chemical and chemical products" 18444 606   12.86   .04637917   .03200635
13 1 "Aarti Industries Ltd."              "chemical and chemical products" 18475 607   13.63   .05987558  .017044727
14 8 "Aarvee Denims & Exports Ltd."       "textile"                        18353 603   63.65  -.06190125       .0269
14 8 "Aarvee Denims & Exports Ltd."       "textile"                        18383 604    57.1  -.10290652  -.06165488
14 8 "Aarvee Denims & Exports Ltd."       "textile"                        18414 605    58.7  .028021015 -.000396616
14 8 "Aarvee Denims & Exports Ltd."       "textile"                        18444 606   64.25   .09454855   .03200635
14 8 "Aarvee Denims & Exports Ltd."       "textile"                        18475 607    85.1    .3245136  .017044727
15 1 "Abbott India Ltd."                  "chemical and chemical products" 18353 603  936.25   .05886677       .0269
15 1 "Abbott India Ltd."                  "chemical and chemical products" 18383 604 1019.55   .08897197  -.06165488
15 1 "Abbott India Ltd."                  "chemical and chemical products" 18414 605 1141.45   .11956255 -.000396616
15 1 "Abbott India Ltd."                  "chemical and chemical products" 18444 606  1138.4  -.00267204   .03200635
15 1 "Abbott India Ltd."                  "chemical and chemical products" 18475 607  1129.7 -.007642305  .017044727
16 8 "Acknit Industries Ltd."             "textile"                        18353 603   29.45  -.02644628       .0269
16 8 "Acknit Industries Ltd."             "textile"                        18383 604    30.2  .025466893  -.06165488
16 8 "Acknit Industries Ltd."             "textile"                        18414 605    28.8  -.04635762 -.000396616
16 8 "Acknit Industries Ltd."             "textile"                        18444 606      29  .006944444   .03200635
16 8 "Acknit Industries Ltd."             "textile"                        18475 607   34.15    .1775862  .017044727
17 5 "Action Construction Equipment Ltd." "machinery"                      18353 603    50.2   .14742857       .0269
17 5 "Action Construction Equipment Ltd." "machinery"                      18383 604   48.45  -.03486056  -.06165488
17 5 "Action Construction Equipment Ltd." "machinery"                      18414 605      49   .01135191 -.000396616
17 5 "Action Construction Equipment Ltd." "machinery"                      18444 606    56.4    .1510204   .03200635
17 5 "Action Construction Equipment Ltd." "machinery"                      18475 607    65.1    .1542553  .017044727
18 5 "Ador Fontech Ltd."                  "machinery"                      18353 603   25.68    .4665905       .0269
18 5 "Ador Fontech Ltd."                  "machinery"                      18383 604   26.33  .025311526  -.06165488
18 5 "Ador Fontech Ltd."                  "machinery"                      18414 605   29.11   .10558298 -.000396616
18 5 "Ador Fontech Ltd."                  "machinery"                      18444 606   26.34   -.0951563   .03200635
18 5 "Ador Fontech Ltd."                  "machinery"                      18475 607   29.81    .1317388  .017044727
19 5 "Ador Welding Ltd."                  "machinery"                      18353 603   181.6   .08095238       .0269
19 5 "Ador Welding Ltd."                  "machinery"                      18383 604  188.15  .036068283  -.06165488
19 5 "Ador Welding Ltd."                  "machinery"                      18414 605  212.75   .13074675 -.000396616
19 5 "Ador Welding Ltd."                  "machinery"                      18444 606  211.75 -.004700352   .03200635
19 5 "Ador Welding Ltd."                  "machinery"                      18475 607  203.25  -.04014168  .017044727
20 4 "Agro Tech Foods Ltd."               "food and agro based products"   18353 603   265.2    .0732497       .0269
20 4 "Agro Tech Foods Ltd."               "food and agro based products"   18383 604  234.95  -.11406486  -.06165488
20 4 "Agro Tech Foods Ltd."               "food and agro based products"   18414 605  328.25   .39710575 -.000396616
20 4 "Agro Tech Foods Ltd."               "food and agro based products"   18444 606   298.6   -.0903275   .03200635
20 4 "Agro Tech Foods Ltd."               "food and agro based products"   18475 607   260.2  -.12860014  .017044727
end
format %td date
format %tm mdate
    Tags: None
  • #2
    What is unclear to me is whether you envision a single regression involving all companies--this is what the text of your post describes. But the title of the thread, extraction by com_id suggests you may really want a separate regression for each company. The code below does both. You should delete the code for the one you don't want.

    Code:
    //  CALCULATE CROSS-SECTIONAL AVERAGE OF RT FOR ALL COMPANIES
by mdate, sort: egen avg_rt_this_month = mean(rt)

//  CALCULATE REGRESSION VARIABLES
gen market_var = avg_rt_this_month - rf
rangestat (mean) industry_var = rt, by(ind_id) excludeself interval(rt . .)
gen outcome_var = rt - rf

//  DO THE REGRESSION AND CALCULATE RESIDUALS
//  METHOD 1: A SINGLE REGRESSION FOR THE ENTIRE DATA SET
regress outcome_var market_var industry_var
predict residual1, resid

//  METHOD 2: A SEPARATE REGRESSION FOR EACH COMPANY
capture program drop one_com_id
program define one_com_id
    regress outcome_var market_var industry_var
    predict residual2, resid
    exit
end
runby one_com_id, by(com_id)
    -runby- is by Robert Picard and me, and is available from SSC. -rangestat- is by Robert Picard, Nick Cox, and Roberto Ferrer, also available from SSC.

    Comment

    • #3
      I need a modification to the one_com_id program part of the below code.

      Step 1: For each year, run regressions as specified in #1 using previous 36 months of data. From the regression coefficients at the beginning of the year, calculate expected value of stock returns for each month and then subtract actual returns for each month from the expected stock returns to obtain the idiosyncratic returns for each month in the year.

      Step 2: Then in next step collapse these monthly idiosyncratic returns for each year for each firm into a mean value.

      This will give rise to yearly cross sectional idiosyncratic returns of firms eventually.

      Code:
      //  CALCULATE CROSS-SECTIONAL AVERAGE OF RT FOR ALL COMPANIES
by mdate, sort: egen avg_rt_this_month = mean(rt)

//  CALCULATE REGRESSION VARIABLES
gen market_var = avg_rt_this_month - rf
rangestat (mean) avg_industry_var = rt, by(ind_id) excludeself interval(rt . .)
gen industry_var= avg_industry_var-rf
gen outcome_var = rt - rf

//  METHOD 2: A SEPARATE REGRESSION FOR EACH COMPANY
capture program drop one_com_id
program define one_com_id
    regress outcome_var market_var industry_var
    predict residual2, resid
    exit
end
runby one_com_id, by(com_id)
      Last edited by Sartaj Hussain; 18 Apr 2023, 04:10.

      Comment

      • #4
        To work this out, I will need a new data example that covers at least 48 months of data. It will be sufficient to do that for a small number of firms in the same industry.

        In addition, there are a few things I don't understand. The regressions done in the code in #3 have rt - rf as their outcome variable. Do you still want to use that, or are you specifically interested in rt as the outcome? If we are using rt - rf as the outcome, then we would be able to predict rt - rf, not rt. Is that what you want?

        I'm not sure what you mean by using the coefficients "at the beginning of the year." From what you have described, the coefficients will not change during the course of the year--they will be calculated separately for each year based on the previous 36 months of data, but there will just be a single set of coefficients for a given year..

        Comment

        • #5
          First of all in #3,
          Step 2: Then in next step collapse these monthly idiosyncratic returns for each year for each firm into a mean value.
          should be read as: Then in next step collapse these monthly idiosyncratic returns for each year for each firm into two variables: a simple arithmetic mean value and a geometric mean value.


          In addition, there are a few things I don't understand. The regressions done in the code in #3 have rt - rf as their outcome variable. Do you still want to use that, or are you specifically interested in rt as the outcome? If we are using rt - rf as the outcome, then we would be able to predict rt - rf, not rt. Is that what you want?
          Yes the outcome variable should be rt and not rt minus rf.

          I'm not sure what you mean by using the coefficients "at the beginning of the year." From what you have described, the coefficients will not change during the course of the year--they will be calculated separately for each year based on the previous 36 months of data, but there will just be a single set of coefficients for a given year..
          Yes you have correctly interpreted it. For each year, coefficients at the beginning of the year mean coefficients based on previous 36 months of data and these coefficients will not change during the course of the year but will be calculated separately for each year.

          To work this out, I will need a new data example that covers at least 48 months of data. It will be sufficient to do that for a small number of firms in the same industry.
          Here is the new example data.

          Code:
          * Example generated by -dataex-. For more info, type help dataex
clear
input float(com_id ind_id) str52 company_name str30 industry_type int date float mdate double pr float(rt rf)
 7 8 "A I Champdany Inds. Ltd."     "textile" 18353 603  29.6   .23333333       .0269
 7 8 "A I Champdany Inds. Ltd."     "textile" 18383 604    29  -.02027027  -.06165488
 7 8 "A I Champdany Inds. Ltd."     "textile" 18414 605 33.05   .13965517 -.000396616
 7 8 "A I Champdany Inds. Ltd."     "textile" 18444 606  35.9   .08623298   .03200635
 7 8 "A I Champdany Inds. Ltd."     "textile" 18475 607  39.3   .09470752  .017044727
 7 8 "A I Champdany Inds. Ltd."     "textile" 18506 608  40.5   .03053435 -.010584677
 7 8 "A I Champdany Inds. Ltd."     "textile" 18536 609  39.1   -.0345679  .034258787
 7 8 "A I Champdany Inds. Ltd."     "textile" 18567 610    34  -.13043478 -.006772565
 7 8 "A I Champdany Inds. Ltd."     "textile" 18597 611 35.95   .05735294  -.01896851
 7 8 "A I Champdany Inds. Ltd."     "textile" 18628 612  28.6   -.2044506  .029697966
 7 8 "A I Champdany Inds. Ltd."     "textile" 18659 613 23.75   -.1695804 -.019145804
 7 8 "A I Champdany Inds. Ltd."     "textile" 18687 614 24.65   .03789474 -.000875876
 7 8 "A I Champdany Inds. Ltd."     "textile" 18718 615  21.7  -.11967546   .01878522
 7 8 "A I Champdany Inds. Ltd."     "textile" 18748 616  23.5    .0829493  .033927474
 7 8 "A I Champdany Inds. Ltd."     "textile" 18779 617  21.8  -.07234043 -.010105814
 7 8 "A I Champdany Inds. Ltd."     "textile" 18809 618  28.8    .3211009   .01537353
 7 8 "A I Champdany Inds. Ltd."     "textile" 18840 619 30.75  .067708336 -.015968772
 7 8 "A I Champdany Inds. Ltd."     "textile" 18871 620 27.55  -.10406504   .01478543
 7 8 "A I Champdany Inds. Ltd."     "textile" 18901 621  21.7   -.2123412   .05176498
 7 8 "A I Champdany Inds. Ltd."     "textile" 18932 622  19.3  -.11059908 -.015880167
 7 8 "A I Champdany Inds. Ltd."     "textile" 18962 623 17.05   -.1165803 -.020370794
 7 8 "A I Champdany Inds. Ltd."     "textile" 18993 624 18.55   .08797654 -.034228973
 7 8 "A I Champdany Inds. Ltd."     "textile" 19024 625  17.3  -.06738544 -.008225475
 7 8 "A I Champdany Inds. Ltd."     "textile" 19053 626    17  -.01734104   .04549335
 7 8 "A I Champdany Inds. Ltd."     "textile" 19084 627  17.2  .011764706   .01154923
 7 8 "A I Champdany Inds. Ltd."     "textile" 19114 628  24.3    .4127907 -.033906125
 7 8 "A I Champdany Inds. Ltd."     "textile" 19145 629 24.15  -.00617284  .000358123
 7 8 "A I Champdany Inds. Ltd."     "textile" 19175 630 20.75  -.14078675 -.016109785
 7 8 "A I Champdany Inds. Ltd."     "textile" 19206 631  19.8  -.04578313 -.000485143
 7 8 "A I Champdany Inds. Ltd."     "textile" 19237 632    20   .01010101 -.011163694
 7 8 "A I Champdany Inds. Ltd."     "textile" 19267 633 18.55      -.0725  .008099153
 7 8 "A I Champdany Inds. Ltd."     "textile" 19298 634  20.8    .1212938 -.004869142
 7 8 "A I Champdany Inds. Ltd."     "textile" 19328 635  24.7       .1875 -.015412844
 7 8 "A I Champdany Inds. Ltd."     "textile" 19359 636  21.3  -.13765182 -.017020749
 7 8 "A I Champdany Inds. Ltd."     "textile" 19390 637  19.7  -.07511737 -.005055612
 7 8 "A I Champdany Inds. Ltd."     "textile" 19418 638  20.5   .04060914   .01003557
 7 8 "A I Champdany Inds. Ltd."     "textile" 19449 639    20 -.024390243 -.027669476
 7 8 "A I Champdany Inds. Ltd."     "textile" 19479 640  20.4         .02  -.03725262
 7 8 "A I Champdany Inds. Ltd."     "textile" 19510 641  19.9 -.024509804 -.000537418
 7 8 "A I Champdany Inds. Ltd."     "textile" 19540 642 17.75   -.1080402   .09853475
 7 8 "A I Champdany Inds. Ltd."     "textile" 19571 643    17  -.04225352   .05188448
 7 8 "A I Champdany Inds. Ltd."     "textile" 19602 644  17.3   .01764706   .01977664
 7 8 "A I Champdany Inds. Ltd."     "textile" 19632 645  17.2 -.005780347 -.016084872
 7 8 "A I Champdany Inds. Ltd."     "textile" 19663 646  18.5    .0755814   .04857971
 7 8 "A I Champdany Inds. Ltd."     "textile" 19693 647 18.45 -.002702703   -.0247678
 7 8 "A I Champdany Inds. Ltd."     "textile" 19724 648  17.2  -.06775068 -.005668934
 7 8 "A I Champdany Inds. Ltd."     "textile" 19755 649  18.2   .05813954  .010490308
 7 8 "A I Champdany Inds. Ltd."     "textile" 19783 650  15.6  -.14285715 -.006544798
10 8 "A P M Industries Ltd."        "textile" 18353 603  9.52  -.04225352       .0269
10 8 "A P M Industries Ltd."        "textile" 18383 604  9.78  .027310925  -.06165488
10 8 "A P M Industries Ltd."        "textile" 18414 605 11.36    .1615542 -.000396616
10 8 "A P M Industries Ltd."        "textile" 18444 606 11.37 .0008802817   .03200635
10 8 "A P M Industries Ltd."        "textile" 18475 607 14.05     .235708  .017044727
10 8 "A P M Industries Ltd."        "textile" 18506 608 17.16    .2213523 -.010584677
10 8 "A P M Industries Ltd."        "textile" 18536 609 20.47   .19289044  .034258787
10 8 "A P M Industries Ltd."        "textile" 18567 610 16.69   -.1846605 -.006772565
10 8 "A P M Industries Ltd."        "textile" 18597 611 17.82  .067705214  -.01896851
10 8 "A P M Industries Ltd."        "textile" 18628 612  16.5 -.074074075  .029697966
10 8 "A P M Industries Ltd."        "textile" 18659 613 14.45  -.12424242 -.019145804
10 8 "A P M Industries Ltd."        "textile" 18687 614  14.4 -.003460208 -.000875876
10 8 "A P M Industries Ltd."        "textile" 18718 615 14.84  .030555556   .01878522
10 8 "A P M Industries Ltd."        "textile" 18748 616 14.14  -.04716981  .033927474
10 8 "A P M Industries Ltd."        "textile" 18779 617  12.3   -.1301273 -.010105814
10 8 "A P M Industries Ltd."        "textile" 18809 618 13.62   .10731708   .01537353
10 8 "A P M Industries Ltd."        "textile" 18840 619 11.89  -.12701909 -.015968772
10 8 "A P M Industries Ltd."        "textile" 18871 620    12  .009251472   .01478543
10 8 "A P M Industries Ltd."        "textile" 18901 621 12.48         .04   .05176498
10 8 "A P M Industries Ltd."        "textile" 18932 622 12.16 -.025641026 -.015880167
10 8 "A P M Industries Ltd."        "textile" 18962 623 10.96  -.09868421 -.020370794
10 8 "A P M Industries Ltd."        "textile" 18993 624 12.94   .18065694 -.034228973
10 8 "A P M Industries Ltd."        "textile" 19024 625 11.38  -.12055641 -.008225475
10 8 "A P M Industries Ltd."        "textile" 19053 626 11.12   -.0228471   .04549335
10 8 "A P M Industries Ltd."        "textile" 19084 627 10.32  -.07194245   .01154923
10 8 "A P M Industries Ltd."        "textile" 19114 628 10.99   .06492248 -.033906125
10 8 "A P M Industries Ltd."        "textile" 19145 629 10.27   -.0655141  .000358123
10 8 "A P M Industries Ltd."        "textile" 19175 630    10 -.026290165 -.016109785
10 8 "A P M Industries Ltd."        "textile" 19206 631    12          .2 -.000485143
10 8 "A P M Industries Ltd."        "textile" 19237 632 15.44   .28666666 -.011163694
10 8 "A P M Industries Ltd."        "textile" 19267 633 16.75   .08484456  .008099153
10 8 "A P M Industries Ltd."        "textile" 19298 634 17.95   .07164179 -.004869142
10 8 "A P M Industries Ltd."        "textile" 19328 635 18.25  .016713092 -.015412844
10 8 "A P M Industries Ltd."        "textile" 19359 636    19   .04109589 -.017020749
10 8 "A P M Industries Ltd."        "textile" 19390 637 18.15  -.04473684 -.005055612
10 8 "A P M Industries Ltd."        "textile" 19418 638  16.8  -.07438017   .01003557
10 8 "A P M Industries Ltd."        "textile" 19449 639 18.25   .08630952 -.027669476
10 8 "A P M Industries Ltd."        "textile" 19479 640 20.35    .1150685  -.03725262
10 8 "A P M Industries Ltd."        "textile" 19510 641 19.45  -.04422604 -.000537418
10 8 "A P M Industries Ltd."        "textile" 19540 642  19.7   .01285347   .09853475
10 8 "A P M Industries Ltd."        "textile" 19571 643  18.5   -.0609137   .05188448
10 8 "A P M Industries Ltd."        "textile" 19602 644 20.65   .11621621   .01977664
10 8 "A P M Industries Ltd."        "textile" 19632 645  24.5   .18644068 -.016084872
10 8 "A P M Industries Ltd."        "textile" 19663 646 25.25  .030612245   .04857971
10 8 "A P M Industries Ltd."        "textile" 19693 647  27.2   .07722772   -.0247678
10 8 "A P M Industries Ltd."        "textile" 19724 648  23.4  -.13970588 -.005668934
10 8 "A P M Industries Ltd."        "textile" 19755 649  22.1  -.05555556  .010490308
10 8 "A P M Industries Ltd."        "textile" 19783 650 22.65   .02488688 -.006544798
11 8 "A Y M Syntex Ltd."            "textile" 18353 603 16.12   .30844155       .0269
11 8 "A Y M Syntex Ltd."            "textile" 18383 604  15.1 -.063275434  -.06165488
11 8 "A Y M Syntex Ltd."            "textile" 18414 605  14.8  -.01986755 -.000396616
11 8 "A Y M Syntex Ltd."            "textile" 18444 606 14.73  -.00472973   .03200635
11 8 "A Y M Syntex Ltd."            "textile" 18475 607  16.8   .14052953  .017044727
11 8 "A Y M Syntex Ltd."            "textile" 18506 608  20.3   .20833333 -.010584677
11 8 "A Y M Syntex Ltd."            "textile" 18536 609  20.3           0  .034258787
11 8 "A Y M Syntex Ltd."            "textile" 18567 610 20.65   .01724138 -.006772565
11 8 "A Y M Syntex Ltd."            "textile" 18597 611 19.95 -.033898305  -.01896851
11 8 "A Y M Syntex Ltd."            "textile" 18628 612  16.9   -.1528822  .029697966
11 8 "A Y M Syntex Ltd."            "textile" 18659 613 14.85  -.12130178 -.019145804
11 8 "A Y M Syntex Ltd."            "textile" 18687 614 13.85  -.06734007 -.000875876
11 8 "A Y M Syntex Ltd."            "textile" 18718 615 16.09   .16173285   .01878522
11 8 "A Y M Syntex Ltd."            "textile" 18748 616  13.8  -.14232442  .033927474
11 8 "A Y M Syntex Ltd."            "textile" 18779 617 13.95  .010869565 -.010105814
11 8 "A Y M Syntex Ltd."            "textile" 18809 618 14.67    .0516129   .01537353
11 8 "A Y M Syntex Ltd."            "textile" 18840 619 11.85  -.19222903 -.015968772
11 8 "A Y M Syntex Ltd."            "textile" 18871 620 12.31   .03881856   .01478543
11 8 "A Y M Syntex Ltd."            "textile" 18901 621 12.05  -.02112104   .05176498
11 8 "A Y M Syntex Ltd."            "textile" 18932 622 10.75  -.10788382 -.015880167
11 8 "A Y M Syntex Ltd."            "textile" 18962 623 10.49 -.024186047 -.020370794
11 8 "A Y M Syntex Ltd."            "textile" 18993 624 13.53    .2897998 -.034228973
11 8 "A Y M Syntex Ltd."            "textile" 19024 625  12.1  -.10569106 -.008225475
11 8 "A Y M Syntex Ltd."            "textile" 19053 626 10.69  -.11652893   .04549335
11 8 "A Y M Syntex Ltd."            "textile" 19084 627 10.57 -.011225444   .01154923
11 8 "A Y M Syntex Ltd."            "textile" 19114 628   9.8  -.07284768 -.033906125
11 8 "A Y M Syntex Ltd."            "textile" 19145 629 10.03   .02346939  .000358123
11 8 "A Y M Syntex Ltd."            "textile" 19175 630  9.36   -.0667996 -.016109785
11 8 "A Y M Syntex Ltd."            "textile" 19206 631  9.04 -.034188036 -.000485143
11 8 "A Y M Syntex Ltd."            "textile" 19237 632 10.41   .15154867 -.011163694
11 8 "A Y M Syntex Ltd."            "textile" 19267 633 11.64   .11815562  .008099153
11 8 "A Y M Syntex Ltd."            "textile" 19298 634 12.46   .07044674 -.004869142
11 8 "A Y M Syntex Ltd."            "textile" 19328 635 13.21   .06019261 -.015412844
11 8 "A Y M Syntex Ltd."            "textile" 19359 636 13.06 -.011355034 -.017020749
11 8 "A Y M Syntex Ltd."            "textile" 19390 637  12.8 -.019908117 -.005055612
11 8 "A Y M Syntex Ltd."            "textile" 19418 638   9.2     -.28125   .01003557
11 8 "A Y M Syntex Ltd."            "textile" 19449 639  9.55   .03804348 -.027669476
11 8 "A Y M Syntex Ltd."            "textile" 19479 640  8.75  -.08376963  -.03725262
11 8 "A Y M Syntex Ltd."            "textile" 19510 641  7.87  -.10057143 -.000537418
11 8 "A Y M Syntex Ltd."            "textile" 19540 642  6.25    -.205845   .09853475
11 8 "A Y M Syntex Ltd."            "textile" 19571 643  6.99       .1184   .05188448
11 8 "A Y M Syntex Ltd."            "textile" 19602 644     8   .14449213   .01977664
11 8 "A Y M Syntex Ltd."            "textile" 19632 645   7.9      -.0125 -.016084872
11 8 "A Y M Syntex Ltd."            "textile" 19663 646  7.31  -.07468355   .04857971
11 8 "A Y M Syntex Ltd."            "textile" 19693 647  8.35   .14227086   -.0247678
11 8 "A Y M Syntex Ltd."            "textile" 19724 648  7.71   -.0766467 -.005668934
11 8 "A Y M Syntex Ltd."            "textile" 19755 649  8.44   .09468223  .010490308
11 8 "A Y M Syntex Ltd."            "textile" 19783 650  7.67  -.09123223 -.006544798
14 8 "Aarvee Denims & Exports Ltd." "textile" 18353 603 63.65  -.06190125       .0269
14 8 "Aarvee Denims & Exports Ltd." "textile" 18383 604  57.1  -.10290652  -.06165488
14 8 "Aarvee Denims & Exports Ltd." "textile" 18414 605  58.7  .028021015 -.000396616
14 8 "Aarvee Denims & Exports Ltd." "textile" 18444 606 64.25   .09454855   .03200635
14 8 "Aarvee Denims & Exports Ltd." "textile" 18475 607  85.1    .3245136  .017044727
14 8 "Aarvee Denims & Exports Ltd." "textile" 18506 608  77.6   -.0881316 -.010584677
14 8 "Aarvee Denims & Exports Ltd." "textile" 18536 609 84.95    .0947165  .034258787
14 8 "Aarvee Denims & Exports Ltd." "textile" 18567 610  73.1  -.13949382 -.006772565
14 8 "Aarvee Denims & Exports Ltd." "textile" 18597 611 80.65   .10328317  -.01896851
14 8 "Aarvee Denims & Exports Ltd." "textile" 18628 612  64.5    -.200248  .029697966
14 8 "Aarvee Denims & Exports Ltd." "textile" 18659 613 58.75  -.08914728 -.019145804
14 8 "Aarvee Denims & Exports Ltd." "textile" 18687 614 56.55  -.03744681 -.000875876
14 8 "Aarvee Denims & Exports Ltd." "textile" 18718 615 64.15   .13439435   .01878522
14 8 "Aarvee Denims & Exports Ltd." "textile" 18748 616    52  -.18939984  .033927474
14 8 "Aarvee Denims & Exports Ltd." "textile" 18779 617  50.7       -.025 -.010105814
14 8 "Aarvee Denims & Exports Ltd." "textile" 18809 618  48.6  -.04142012   .01537353
14 8 "Aarvee Denims & Exports Ltd." "textile" 18840 619 33.75  -.30555555 -.015968772
14 8 "Aarvee Denims & Exports Ltd." "textile" 18871 620 36.45         .08   .01478543
14 8 "Aarvee Denims & Exports Ltd." "textile" 18901 621  35.5   -.0260631   .05176498
14 8 "Aarvee Denims & Exports Ltd." "textile" 18932 622 31.55   -.1112676 -.015880167
14 8 "Aarvee Denims & Exports Ltd." "textile" 18962 623  27.9  -.11568938 -.020370794
14 8 "Aarvee Denims & Exports Ltd." "textile" 18993 624 36.05    .2921147 -.034228973
14 8 "Aarvee Denims & Exports Ltd." "textile" 19024 625    38   .05409154 -.008225475
14 8 "Aarvee Denims & Exports Ltd." "textile" 19053 626    35  -.07894737   .04549335
14 8 "Aarvee Denims & Exports Ltd." "textile" 19084 627 33.85 -.032857142   .01154923
14 8 "Aarvee Denims & Exports Ltd." "textile" 19114 628 36.05  .064992614 -.033906125
14 8 "Aarvee Denims & Exports Ltd." "textile" 19145 629  35.7 -.009708738  .000358123
14 8 "Aarvee Denims & Exports Ltd." "textile" 19175 630  33.5  -.06162465 -.016109785
14 8 "Aarvee Denims & Exports Ltd." "textile" 19206 631    37   .10447761 -.000485143
14 8 "Aarvee Denims & Exports Ltd." "textile" 19237 632 41.05   .10945946 -.011163694
14 8 "Aarvee Denims & Exports Ltd." "textile" 19267 633  54.5    .3276492  .008099153
14 8 "Aarvee Denims & Exports Ltd." "textile" 19298 634  67.1   .23119266 -.004869142
14 8 "Aarvee Denims & Exports Ltd." "textile" 19328 635  65.8  -.01937407 -.015412844
14 8 "Aarvee Denims & Exports Ltd." "textile" 19359 636  76.1   .15653495 -.017020749
14 8 "Aarvee Denims & Exports Ltd." "textile" 19390 637 38.25   -.4973719 -.005055612
14 8 "Aarvee Denims & Exports Ltd." "textile" 19418 638  35.5  -.07189543   .01003557
14 8 "Aarvee Denims & Exports Ltd." "textile" 19449 639    35 -.014084507 -.027669476
14 8 "Aarvee Denims & Exports Ltd." "textile" 19479 640  38.1   .08857143  -.03725262
14 8 "Aarvee Denims & Exports Ltd." "textile" 19510 641 34.35   -.0984252 -.000537418
14 8 "Aarvee Denims & Exports Ltd." "textile" 19540 642  35.8   .04221252   .09853475
14 8 "Aarvee Denims & Exports Ltd." "textile" 19571 643 32.05   -.1047486   .05188448
14 8 "Aarvee Denims & Exports Ltd." "textile" 19602 644    31  -.03276131   .01977664
14 8 "Aarvee Denims & Exports Ltd." "textile" 19632 645 35.15   .13387097 -.016084872
14 8 "Aarvee Denims & Exports Ltd." "textile" 19663 646  43.4    .2347084   .04857971
14 8 "Aarvee Denims & Exports Ltd." "textile" 19693 647  46.8   .07834101   -.0247678
14 8 "Aarvee Denims & Exports Ltd." "textile" 19724 648 41.35    -.116453 -.005668934
14 8 "Aarvee Denims & Exports Ltd." "textile" 19755 649 33.45    -.191052  .010490308
14 8 "Aarvee Denims & Exports Ltd." "textile" 19783 650 35.85   .07174888 -.006544798
16 8 "Acknit Industries Ltd."       "textile" 18353 603 29.45  -.02644628       .0269
16 8 "Acknit Industries Ltd."       "textile" 18383 604  30.2  .025466893  -.06165488
16 8 "Acknit Industries Ltd."       "textile" 18414 605  28.8  -.04635762 -.000396616
16 8 "Acknit Industries Ltd."       "textile" 18444 606    29  .006944444   .03200635
16 8 "Acknit Industries Ltd."       "textile" 18475 607 34.15    .1775862  .017044727
16 8 "Acknit Industries Ltd."       "textile" 18506 608 31.25  -.08491948 -.010584677
16 8 "Acknit Industries Ltd."       "textile" 18536 609 31.85       .0192  .034258787
16 8 "Acknit Industries Ltd."       "textile" 18567 610  29.5  -.07378336 -.006772565
16 8 "Acknit Industries Ltd."       "textile" 18597 611  29.8   .01016949  -.01896851
16 8 "Acknit Industries Ltd."       "textile" 18628 612 28.55  -.04194631  .029697966
16 8 "Acknit Industries Ltd."       "textile" 18659 613    28  -.01926445 -.019145804
16 8 "Acknit Industries Ltd."       "textile" 18687 614 26.35  -.05892857 -.000875876
16 8 "Acknit Industries Ltd."       "textile" 18718 615  30.5   .15749526   .01878522
16 8 "Acknit Industries Ltd."       "textile" 18748 616  25.4   -.1672131  .033927474
16 8 "Acknit Industries Ltd."       "textile" 18779 617  26.6   .04724409 -.010105814
16 8 "Acknit Industries Ltd."       "textile" 18809 618 28.75   .08082706   .01537353
16 8 "Acknit Industries Ltd."       "textile" 18840 619  28.3 -.015652174 -.015968772
16 8 "Acknit Industries Ltd."       "textile" 18871 620 26.35  -.06890459   .01478543
16 8 "Acknit Industries Ltd."       "textile" 18901 621  29.5    .1195446   .05176498
16 8 "Acknit Industries Ltd."       "textile" 18932 622    25  -.15254237 -.015880167
16 8 "Acknit Industries Ltd."       "textile" 18962 623 22.35       -.106 -.020370794
16 8 "Acknit Industries Ltd."       "textile" 18993 624    24    .0738255 -.034228973
16 8 "Acknit Industries Ltd."       "textile" 19024 625  24.9       .0375 -.008225475
16 8 "Acknit Industries Ltd."       "textile" 19053 626  26.5  .064257026   .04549335
16 8 "Acknit Industries Ltd."       "textile" 19084 627    27  .018867925   .01154923
16 8 "Acknit Industries Ltd."       "textile" 19114 628  27.2  .007407407 -.033906125
16 8 "Acknit Industries Ltd."       "textile" 19145 629 29.45   .08272059  .000358123
16 8 "Acknit Industries Ltd."       "textile" 19175 630    32   .08658744 -.016109785
16 8 "Acknit Industries Ltd."       "textile" 19206 631 26.95   -.1578125 -.000485143
16 8 "Acknit Industries Ltd."       "textile" 19237 632 28.35   .05194805 -.011163694
16 8 "Acknit Industries Ltd."       "textile" 19267 633 30.05   .05996473  .008099153
16 8 "Acknit Industries Ltd."       "textile" 19298 634 26.95   -.1031614 -.004869142
16 8 "Acknit Industries Ltd."       "textile" 19328 635  26.1 -.031539887 -.015412844
16 8 "Acknit Industries Ltd."       "textile" 19359 636    29   .11111111 -.017020749
16 8 "Acknit Industries Ltd."       "textile" 19390 637 26.75   -.0775862 -.005055612
16 8 "Acknit Industries Ltd."       "textile" 19418 638 25.75  -.03738318   .01003557
16 8 "Acknit Industries Ltd."       "textile" 19449 639 23.85  -.07378641 -.027669476
16 8 "Acknit Industries Ltd."       "textile" 19479 640  25.5   .06918239  -.03725262
16 8 "Acknit Industries Ltd."       "textile" 19510 641 24.25  -.04901961 -.000537418
16 8 "Acknit Industries Ltd."       "textile" 19540 642  24.9  .026804123   .09853475
16 8 "Acknit Industries Ltd."       "textile" 19571 643 33.25    .3353414   .05188448
16 8 "Acknit Industries Ltd."       "textile" 19602 644  30.6  -.07969925   .01977664
16 8 "Acknit Industries Ltd."       "textile" 19632 645  33.5   .09477124 -.016084872
16 8 "Acknit Industries Ltd."       "textile" 19663 646  28.8   -.1402985   .04857971
16 8 "Acknit Industries Ltd."       "textile" 19693 647  28.6 -.006944444   -.0247678
16 8 "Acknit Industries Ltd."       "textile" 19724 648    32   .11888112 -.005668934
16 8 "Acknit Industries Ltd."       "textile" 19755 649 29.55   -.0765625  .010490308
16 8 "Acknit Industries Ltd."       "textile" 19783 650  33.9   .14720812 -.006544798
28 8 "Alka India Ltd."              "textile" 18353 603    .4  .025641026       .0269
28 8 "Alka India Ltd."              "textile" 18383 604   .36         -.1  -.06165488
28 8 "Alka India Ltd."              "textile" 18414 605   .36           0 -.000396616
28 8 "Alka India Ltd."              "textile" 18444 606   .36           0   .03200635
28 8 "Alka India Ltd."              "textile" 18475 607   .37   .02777778  .017044727
28 8 "Alka India Ltd."              "textile" 18506 608   .38   .02702703 -.010584677
28 8 "Alka India Ltd."              "textile" 18536 609   .36  -.05263158  .034258787
28 8 "Alka India Ltd."              "textile" 18567 610   .33  -.08333334 -.006772565
28 8 "Alka India Ltd."              "textile" 18597 611   .34   .03030303  -.01896851
28 8 "Alka India Ltd."              "textile" 18628 612   .31   -.0882353  .029697966
28 8 "Alka India Ltd."              "textile" 18659 613   .28   -.0967742 -.019145804
28 8 "Alka India Ltd."              "textile" 18687 614   .27 -.035714287 -.000875876
28 8 "Alka India Ltd."              "textile" 18718 615   .27           0   .01878522
28 8 "Alka India Ltd."              "textile" 18748 616   .23  -.14814815  .033927474
28 8 "Alka India Ltd."              "textile" 18779 617   .21  -.08695652 -.010105814
28 8 "Alka India Ltd."              "textile" 18809 618   .24   .14285715   .01537353
28 8 "Alka India Ltd."              "textile" 18840 619   .22  -.08333334 -.015968772
28 8 "Alka India Ltd."              "textile" 18871 620   .21  -.04545455   .01478543
28 8 "Alka India Ltd."              "textile" 18901 621   .21           0   .05176498
28 8 "Alka India Ltd."              "textile" 18932 622   .19   -.0952381 -.015880167
28 8 "Alka India Ltd."              "textile" 18962 623   .19           0 -.020370794
28 8 "Alka India Ltd."              "textile" 18993 624   .21   .10526316 -.034228973
28 8 "Alka India Ltd."              "textile" 19024 625    .2  -.04761905 -.008225475
28 8 "Alka India Ltd."              "textile" 19053 626   .19        -.05   .04549335
28 8 "Alka India Ltd."              "textile" 19084 627   .19           0   .01154923
28 8 "Alka India Ltd."              "textile" 19114 628   .19           0 -.033906125
28 8 "Alka India Ltd."              "textile" 19145 629   .17  -.10526316  .000358123
28 8 "Alka India Ltd."              "textile" 19175 630   .16  -.05882353 -.016109785
28 8 "Alka India Ltd."              "textile" 19206 631   .14       -.125 -.000485143
28 8 "Alka India Ltd."              "textile" 19237 632   .15  .071428575 -.011163694
28 8 "Alka India Ltd."              "textile" 19267 633   .15           0  .008099153
28 8 "Alka India Ltd."              "textile" 19298 634   .14  -.06666667 -.004869142
28 8 "Alka India Ltd."              "textile" 19328 635   .13 -.071428575 -.015412844
28 8 "Alka India Ltd."              "textile" 19359 636   .12  -.07692308 -.017020749
28 8 "Alka India Ltd."              "textile" 19390 637   .11  -.08333334 -.005055612
28 8 "Alka India Ltd."              "textile" 19418 638   .09   -.1818182   .01003557
28 8 "Alka India Ltd."              "textile" 19449 639   .12    .3333333 -.027669476
28 8 "Alka India Ltd."              "textile" 19479 640    .1  -.16666667  -.03725262
28 8 "Alka India Ltd."              "textile" 19510 641   .12          .2 -.000537418
28 8 "Alka India Ltd."              "textile" 19540 642   .09        -.25   .09853475
28 8 "Alka India Ltd."              "textile" 19571 643   .09           0   .05188448
28 8 "Alka India Ltd."              "textile" 19602 644    .1   .11111111   .01977664
28 8 "Alka India Ltd."              "textile" 19632 645    .1           0 -.016084872
28 8 "Alka India Ltd."              "textile" 19663 646   .11          .1   .04857971
28 8 "Alka India Ltd."              "textile" 19693 647   .11           0   -.0247678
28 8 "Alka India Ltd."              "textile" 19724 648    .1   -.0909091 -.005668934
28 8 "Alka India Ltd."              "textile" 19755 649    .1           0  .010490308
28 8 "Alka India Ltd."              "textile" 19783 650   .09         -.1 -.006544798
end
format %td date
format %tm mdate

          Comment

          • #6
            OK, there is something I'm not understanding here. Some of the idiosyncratic rt values are going to be negative. In fact, for some of the firm-years in your example data, even the mean idiosyncratic_rt is negative. It is not possible to calculate a geometric mean of a set of numbers that includes negatives.

            Leaving aside the geometric mean part, I believe the following does what you ask:
            Code:
            //  CALCULATE REGRESSION VARIABLES
by mdate, sort: egen market_var = mean(rt)
replace market_var = market_var - rf
rangestat (mean) industry_var = rt, by(ind_id) excludeself interval(rt . .)
replace industry_var = industry_var -rf
gen int year = year(date)

capture program drop one_com_id
program define one_com_id
    local years_back = 3
    gen idio_rt = .
    summ year, meanonly
    forvalues y = `=r(min)'/`=r(max)' {
        count if inrange(year - `y', -`years_back', -1) ///
            & !missing(rt, market_var, industry_var)
        if r(N) >= 12*`years_back' {
            regress rt market_var industry_var ///
                if inrange(year - `y', -`years_back', -1)
            predict resid, resid
            replace idio_rt = resid if year == `y'
            drop resid
        }
    }
    collapse (mean) amean_idiosyncratic_rt = idio_rt, by(com_id year)
    exit
end


runby one_com_id, by(com_id)

            Comment

            • #7
              Extending the code #6 further, i want to calculate Peer idiosyncratic risk or PIR for each company given by com_id for each year. The PIR of company i is equal to average of the amean_idiosyncratic_rt or IR for all the companies in a given industry, j to which company i belong excluding the amean_idiosyncratic_rt or IR of company i. How can we do that?

              Mathematically it can be shown as PIRi=((IRj-IRi)/(n-1)

              Where, PIR is the peer idiosyncratic risk of company i
              IRj is the sum of amean_idiosyncratic_rt of all the companies in industry j.
              IRi is amean_idiosyncratic_rt of the company i.
              n               is the number of companies in the industry j.
              Last edited by Sartaj Hussain; 25 Aug 2023, 12:30.

              Comment

              • #8
                This requires a small adjustment to the code in #6 so that industry type is retained when it is run. After that, while one can directly implement the formulas you show in #7, it is simpler (from a coding perspective) to use -rangestat-, which has an -excludeself- option

                Code:
                //  CALCULATE REGRESSION VARIABLES
by mdate, sort: egen market_var = mean(rt)
replace market_var = market_var - rf
rangestat (mean) industry_var = rt, by(ind_id) excludeself interval(rt . .)
replace industry_var = industry_var -rf
gen int year = year(date)

capture program drop one_com_id
program define one_com_id
    local years_back = 3
    gen idio_rt = .
    summ year, meanonly
    forvalues y = `=r(min)'/`=r(max)' {
        count if inrange(year - `y', -`years_back', -1) ///
            & !missing(rt, market_var, industry_var)
        if r(N) >= 12*`years_back' {
            regress rt market_var industry_var ///
                if inrange(year - `y', -`years_back', -1)
            predict resid, resid
            replace idio_rt = resid if year == `y'
            drop resid
        }
    }
    collapse (mean) amean_idiosyncratic_rt = idio_rt (first) industry_type, by(com_id year)
    exit
end


runby one_com_id, by(com_id)

rangestat (mean) PIR = amean_idiosyncratic_rt, by(industry_type) excludeself ///
    interval(amean_idiosyncratic_rt . .)

                Comment

                • #9
                  From the model in #8, we require descriptive statistics (mean, median and SD) of the following parameters/variables:

                  1. intercept_hat of the regressions.
                  2. beta_hat of first dep_var.
                  3. beta_hat of second dep_var.
                  4. # of observations per regression.
                  5. R_square
                  6. Monthly returns (indep_var)
                  7. Expected Monthly returns.
                  8. amean_idiosyncratic_rt

                  The output preferably should generate in the form of a table.

                  Comment

                  • #10
                    Code:
                    //  CALCULATE REGRESSION VARIABLES
by mdate, sort: egen market_var = mean(rt)
replace market_var = market_var - rf
rangestat (mean) industry_var = rt, by(ind_id) excludeself interval(rt . .)
replace industry_var = industry_var -rf
gen int year = year(date)

capture program drop one_com_id
program define one_com_id
    local years_back = 3
    gen idio_rt = .
    summ year, meanonly
    forvalues y = `=r(min)'/`=r(max)' {
        count if inrange(year - `y', -`years_back', -1) ///
            & !missing(rt, market_var, industry_var)
        if r(N) >= 12*`years_back' {
            regress rt market_var industry_var ///
                if inrange(year - `y', -`years_back', -1)
            predict resid, resid
            predict expected_returns, xb
            replace idio_rt = resid if year == `y'
            gen intercept_hat = _b[_cons]
            gen beta_market_var_hat = _b[market_var]
            gen beta_industry_var_hat = _b[industry_var]
            gen long N = e(N)
            gen r_square = e(r2)
            drop resid
        }
    }
    collapse (mean) amean_idiosyncratic_rt = idio_rt (first) industry_type ///
        intercept_hat beta_*var_hat N r_square rt expected_returns, ///
        by(com_id year)
    exit
end


runby one_com_id, by(com_id)

rangestat (mean) PIR = amean_idiosyncratic_rt, by(industry_type) excludeself ///
    interval(amean_idiosyncratic_rt . .)
    
tabstat *_hat N r_square rt expected_returns amean_idiosyncratic_rt, ///
    statistics(mean sd median) varwidth(24) columns(statistics)
                    Note: In the output table with the new statistics, the colulmn head for median says p50.

                    Comment

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