how to get the residuals for xtpmg command

[Tin Cheng]

Hi, do anyone know how to produce the residual from the xtpmg command? It doesn't support by the predict command, so I'm quite confuss now.
Here is my command for the xtpmg:

xtpmg d.Stock d.L(1/8).Stock d.L(1/7).IR d.L(1/7).M2 d.L(1/12).CPI, lr(l.Stock l.M2 l.IR l.CPI) ec(ec) replace pmg

The total unit for my panel data is 4, and T is equal to 180, so the total observation is 720.
After run the xtpmg, it drops from 720 to 668

[Hemanshu Kumar]

Please provide a data sample using the dataex command. Also, as you are asked to specify in the Statalist FAQ, xtpmg is a community-contributed command available from the Stata Journal.

[Tin Cheng]

Here is the data sample:

* Example generated by -dataex-. For more info, type help dataex
clear
input float ym double(CPI M2 IR) byte Stock_name double Stock
600 217.488   8478 .11 1 1123.5821052631575
601 217.281 8527.6 .13 1  1089.161052631579
602 217.353 8523.7 .16 1 1152.0491304347827
603 217.403 8555.1  .2 1 1197.3171428571427
604  217.29 8609.3  .2 1           1125.064
605 217.199 8628.4 .18 1 1083.3613636363639
606 217.605 8639.8 .18 1  1079.802857142857
607 217.923 8688.2 .19 1 1087.2827272727272
608 218.275 8718.9 .19 1 1122.0819047619048
609 219.035 8768.7 .19 1 1171.5842857142854
610  219.59 8789.3 .19 1 1198.8890476190475
611 220.472 8822.9 .18 1 1241.5254545454545
612 221.187 8845.2 .17 1          1282.6185
613 221.898   8909 .16 1 1321.1184210526317
614 223.046   8967 .14 1 1304.4865217391302
615 224.093 9030.4  .1 1          1331.5055
616 224.806 9102.7 .09 1 1338.3109523809521
617 224.806 9176.7 .09 1 1287.2886363636362
618 225.395 9338.7 .07 1           1325.185
619 226.106 9525.1  .1 1 1185.3060869565215
620 226.597 9545.3 .08 1  1173.879047619048
621  226.75 9578.1 .07 1 1207.2166666666667
622 227.169 9629.8 .08 1 1226.4152380952382
623 227.223 9677.4 .07 1 1243.3238095238096
600 217.488   8478 .11 2 10471.235263157896
601 217.281 8527.6 .13 2 10214.506315789475
602 217.353 8523.7 .16 2 10677.518695652176
603 217.403 8555.1  .2 2 11052.147619047619
604  217.29 8609.3  .2 2         10500.1915
605 217.199 8628.4 .18 2 10159.267272727271
606 217.605 8639.8 .18 2 10222.242380952379
607 217.923 8688.2 .19 2 10350.396363636364
608 218.275 8718.9 .19 2 10598.066190476193
609 219.035 8768.7 .19 2 11044.485238095236
610  219.59 8789.3 .19 2 11198.312857142855
611 220.472 8822.9 .18 2 11465.257272727273
612 221.187 8845.2 .17 2 11802.370499999999
613 221.898   8909 .16 2 12190.000526315791
614 223.046   8967 .14 2 12081.476521739129
615 224.093 9030.4  .1 2         12434.8765
616 224.806 9102.7 .09 2 12579.992857142855
617 224.806 9176.7 .09 2 12097.309545454546
618 225.395 9338.7 .07 2 12512.325499999997
619 226.106 9525.1  .1 2 11326.617826086956
620 226.597 9545.3 .08 2 11175.453809523811
621  226.75 9578.1 .07 2 11515.930952380952
622 227.169 9629.8 .08 2 11804.332857142857
623 227.223 9677.4 .07 2 12075.682857142858
600 217.488   8478 .11 3  1850.219473684211
601 217.281 8527.6 .13 3 1784.7347368421051
602 217.353 8523.7 .16 3 1920.6160869565217
603 217.403 8555.1  .2 3 2010.9599999999998
604  217.29 8609.3  .2 3 1892.7329999999997
605 217.199 8628.4 .18 3 1847.1754545454542
606 217.605 8639.8 .18 3  1827.204761904762
607 217.923 8688.2 .19 3 1839.0745454545452
608 218.275 8718.9 .19 3 1939.8833333333334
609 219.035 8768.7 .19 3  2066.017142857143
610  219.59 8789.3 .19 3  2148.408095238095
611 220.472 8822.9 .18 3 2211.4118181818185
612 221.187 8845.2 .17 3           2291.243
613 221.898   8909 .16 3  2353.392631578947
614 223.046   8967 .14 3  2298.651739130434
615 224.093 9030.4  .1 3           2344.074
616 224.806 9102.7 .09 3  2364.605714285714
617 224.806 9176.7 .09 3 2255.0731818181816
618 225.395 9338.7 .07 3 2379.4484999999995
619 226.106 9525.1  .1 3  2173.812608695652
620 226.597 9545.3 .08 3 2224.4728571428577
621  226.75 9578.1 .07 3  2298.661904761905
622 227.169 9629.8 .08 3 2291.7804761904763
623 227.223 9677.4 .07 3   2279.22380952381
600 217.488   8478 .11 4  631.7558421052631
601 217.281 8527.6 .13 4  613.8766842105263
602 217.353 8523.7 .16 4  672.9330869565217
603 217.403 8555.1  .2 4  715.7482380952382
604  217.29 8609.3  .2 4          678.47605
605 217.199 8628.4 .18 4  643.7044090909093
606 217.605 8639.8 .18 4  629.5373333333333
607 217.923 8688.2 .19 4  625.1625454545456
608 218.275 8718.9 .19 4   652.248476190476
609 219.035 8768.7 .19 4  696.9850952380953
610  219.59 8789.3 .19 4  723.7533333333332
611 220.472 8822.9 .18 4  775.0252727272727
612 221.187 8845.2 .17 4  790.2706999999999
613 221.898   8909 .16 4  813.9584736842107
614 223.046   8967 .14 4  812.7353478260869
615 224.093 9030.4  .1 4            842.423
616 224.806 9102.7 .09 4   834.200142857143
617 224.806 9176.7 .09 4  799.1928181818181
618 225.395 9338.7 .07 4  830.4553999999998
619 226.106 9525.1  .1 4  703.8763043478262
620 226.597 9545.3 .08 4  681.5399047619046
621  226.75 9578.1 .07 4  698.9170952380954
622 227.169 9629.8 .08 4  721.3584285714285
623 227.223 9677.4 .07 4  734.5083333333333
end
format %tm ym
label values Stock_name unit_lbl
label def unit_lbl 1 "SP500", modify
label def unit_lbl 2 "DowJones", modify
label def unit_lbl 3 "NASDAQ100", modify
label def unit_lbl 4 "Russell2000", modify

[Hemanshu Kumar]

The predict command seems to work fine after xtpmg. It would help for you to show the exact sequence of your commands and their respective outputs.