Hi all,

For my Master's thesis I have to calculate 'Market Model Adjusted Return' with market model parameters computed over the five-year period ending in July 2008 & 'Idiosyncratic Risk', which is computed as the residual variance from the market model estimated over the five-year period ending in July 2008, using monthly data. There are over 3,000 companies in my dataset.

I was able to get the the market model parameters for 'Market Model Adjusted Return' by using: rangestat (reg) lnret marketreturn, interval(crisis 0 0) by(PERMNO)
However, this command doesn't give residuals for the variable 'Idiosyncratic Risk'. So I need a command that does give me, for each company, 1 residual for the regression lnret marketreturn in the five-year period ending in July 2008 (crisis==0).

Could anyone please help me with the code to obtain the residuals?

Thank you,
Julia



*crisis is a dummy variable set to 1 if NamesDate is between 20030731-20080731
*lnret is the natural logarithm of return
*beta2 and alpha2 are market model parameters calculated with rangestat if crisis==0

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input long(PERMNO NamesDate) float lnret double marketreturn float(crisis beta2 alpha2)
10002 20030731            .  .021749 0 1.215891 -.019994756
10002 20030829  .0024891114  .023516 0 1.215891 -.019994756
10002 20030930   -.06350322 -.010602 0 1.215891 -.019994756
10002 20031031   .021618923  .058836 0 1.215891 -.019994756
10002 20031128    .02242965  .015052 0 1.215891 -.019994756
10002 20031231   .015094626  .043848 0 1.215891 -.019994756
10002 20040130   .005602255  .022013 0 1.215891 -.019994756
10002 20040227    .11370549  .013994 0 1.215891 -.019994756
10002 20040331  -.031516396 -.011991 0 1.215891 -.019994756
10002 20040430   -.03727863  -.02556 0 1.215891 -.019994756
10002 20040528   .015896713  .012374 0 1.215891 -.019994756
10002 20040630   .023095714  .020039 0 1.215891 -.019994756
10002 20040730   .003418807 -.038765 0 1.215891 -.019994756
10002 20040831   .022498136  .001083 0 1.215891 -.019994756
10002 20040930    .04459684  .019085 0 1.215891 -.019994756
10002 20041029    .01058211  .016579 0 1.215891 -.019994756
10002 20041130     .1142681  .044313 0 1.215891 -.019994756
10002 20041231    .14444579  .033422 0 1.215891 -.019994756
10002 20050131   -.14210112 -.027405 0 1.215891 -.019994756
10002 20050228    -.0338208  .020839 0 1.215891 -.019994756
10002 20050331  -.019570095 -.018583 0 1.215891 -.019994756
10002 20050429   -.06902816 -.026569 0 1.215891 -.019994756
10002 20050531    .04553296   .03615 0 1.215891 -.019994756
10002 20050630  -.012213892  .009902 0 1.215891 -.019994756
10002 20050729    .07637298  .042229 0 1.215891 -.019994756
10002 20050831   .032208152 -.007761 0 1.215891 -.019994756
10002 20050930   -.12146459  .009338 0 1.215891 -.019994756
10002 20051031   -.04563126 -.021981 0 1.215891 -.019994756
10002 20051130    .09125499   .03807 0 1.215891 -.019994756
10002 20051230 -.0039721997  .001886 0 1.215891 -.019994756
10002 20060131   .029413885  .038935 0 1.215891 -.019994756
10002 20060228    .06363232 -.003553 0 1.215891 -.019994756
10002 20060331  .0040714825  .017575 0 1.215891 -.019994756
10002 20060428  -.069638036  .011492 0 1.215891 -.019994756
10002 20060531    .04819071 -.033021 0 1.215891 -.019994756
10002 20060630    .07933284 -.001883 0 1.215891 -.019994756
10002 20060731     .1580993 -.002918 0 1.215891 -.019994756
10002 20060831  -.034792554  .022974 0 1.215891 -.019994756
10002 20060929    .04923845  .018105 0 1.215891 -.019994756
10002 20061031     -.129187  .036087 0 1.215891 -.019994756
10002 20061130  -.012315427  .021338 0 1.215891 -.019994756
10002 20061229    .05269669  .009153 0 1.215891 -.019994756
10002 20070131    -.1723402  .018461 0 1.215891 -.019994756
10002 20070228   .032519467 -.015979 0 1.215891 -.019994756
10002 20070330   -.04752913  .011475 0 1.215891 -.019994756
10002 20070430   -.05488146  .038449 0 1.215891 -.019994756
10002 20070531 .00049912656  .036643 0 1.215891 -.019994756
10002 20070629    .04679216 -.016128 0 1.215891 -.019994756
10002 20070731   -.18346506 -.032764 0 1.215891 -.019994756
10002 20070831  -.073580034  .009677 0 1.215891 -.019994756
10002 20070928  -.018018505  .039325 0 1.215891 -.019994756
10002 20071031   -.16751015  .024655 0 1.215891 -.019994756
10002 20071130   -.08022805 -.051276 0 1.215891 -.019994756
10002 20071231   -.02851517 -.006511 0 1.215891 -.019994756
10002 20080131    .02045061 -.063243 0 1.215891 -.019994756
10002 20080229    -.1166703 -.023605 0 1.215891 -.019994756
10002 20080331  -.022080014  -.01216 0 1.215891 -.019994756
10002 20080430    .01018056  .049736 0 1.215891 -.019994756
10002 20080530   -.07651915  .021494 0 1.215891 -.019994756
10002 20080630    -.4230138 -.080241 0 1.215891 -.019994756
10002 20080731    .12934968  -.01469 0 1.215891 -.019994756
10002 20080829     .1180793  .008576 1 1.215891 -.019994756
10002 20080930     .4411555  -.09977 1 1.215891 -.019994756
10002 20081031   -.05161427 -.186131 1 1.215891 -.019994756
10002 20081128  .0016038496  -.08735 1 1.215891 -.019994756
10002 20081231    .16779345  .019088 1 1.215891 -.019994756
10002 20090130   -.50924605 -.078704 1 1.215891 -.019994756
10002 20090227     -.374386 -.103448 1 1.215891 -.019994756
10002 20090331   .037011463  .083479 1 1.215891 -.019994756
10025 20030731            .  .021749 0  1.53617 .0039992216
10025 20030829    .06628192  .023516 0  1.53617 .0039992216
10025 20030930    .04980763 -.010602 0  1.53617 .0039992216
10025 20031031   -.16551444  .058836 0  1.53617 .0039992216
10025 20031128  -.035281815  .015052 0  1.53617 .0039992216
10025 20031231    .29651722  .043848 0  1.53617 .0039992216
10025 20040130    .12175683  .022013 0  1.53617 .0039992216
10025 20040227   .003629768  .013994 0  1.53617 .0039992216
10025 20040331    -.0312813 -.011991 0  1.53617 .0039992216
10025 20040430    .10965037  -.02556 0  1.53617 .0039992216
10025 20040528   -.11527362  .012374 0  1.53617 .0039992216
10025 20040630    .04232462  .020039 0  1.53617 .0039992216
10025 20040730   -.04138521 -.038765 0  1.53617 .0039992216
10025 20040831  -.017045867  .001083 0  1.53617 .0039992216
10025 20040930    .02359713  .019085 0  1.53617 .0039992216
10025 20041029    .03122384  .016579 0  1.53617 .0039992216
10025 20041130  -.006349228  .044313 0  1.53617 .0039992216
10025 20041231     .2942573  .033422 0  1.53617 .0039992216
10025 20050131    .24526983 -.027405 0  1.53617 .0039992216
10025 20050228      .079022  .020839 0  1.53617 .0039992216
10025 20050331  -.032381408 -.018583 0  1.53617 .0039992216
10025 20050429   -.06052969 -.026569 0  1.53617 .0039992216
10025 20050531   -.07597175   .03615 0  1.53617 .0039992216
10025 20050630    .06895418  .009902 0  1.53617 .0039992216
10025 20050729      .059413  .042229 0  1.53617 .0039992216
10025 20050831    .04442957 -.007761 0  1.53617 .0039992216
10025 20050930    .07341018  .009338 0  1.53617 .0039992216
10025 20051031    -.0822381 -.021981 0  1.53617 .0039992216
10025 20051130    .12487333   .03807 0  1.53617 .0039992216
10025 20051230     .0833816  .001886 0  1.53617 .0039992216
10025 20060131    .03922071  .038935 0  1.53617 .0039992216
end