Example of spreads data & code in Stata

spreads-example.do

spreads_read using spreads.csv, clear
collapse (firstnm) open_pinnacle=pinnacle_spread ///
                   open_betonline=betonline_spread ///
                   open_bookmaker=bookmaker_spread ///
                   points_* ///
         (lastnm) close_pinnacle=pinnacle_spread ///
                  close_betonline=betonline_spread ///
                  close_bookmaker=bookmaker_spread, ///
         by(season week hometeam awayteam game_date)
generate byte actual = points_home - points_away
drop points*

regress open_pinnacle actual
predict uhat, residuals
regress close_pinnacle uhat actual

Results from regress close_pnnacle uhat actual:

      Source |       SS       df       MS              Number of obs =    1602
-------------+------------------------------           F(  2,  1599) = 9871.25
       Model |   44854.607     2  22427.3035           Prob > F      =  0.0000
    Residual |  3632.89987  1599   2.2719824           R-squared     =  0.9251
-------------+------------------------------           Adj R-squared =  0.9250
       Total |  48487.5069  1601  30.2857632           Root MSE      =  1.5073

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close_pinn~e |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        uhat |   .9574943   .0072324   132.39   0.000     .9433083    .9716803
      actual |  -.1162986   .0024708   -47.07   0.000     -.121145   -.1114522
       _cons |  -3.377487   .0381918   -88.43   0.000    -3.452398   -3.302575
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