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st: Question about regress and multiple datasets


From   "Pablo Gonzalez" <ssrnmail@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Question about regress and multiple datasets
Date   Thu, 15 Sep 2005 17:54:24 +0100

Hi everyone,

I'm having a problem with the regress function (it's not about the command
itself but with its use)and I would like to know if anyone could help
me...Basically, I have two problems that are interconnected:

1. Is it possible to retrieve the value of the coefficients directly? For
example, using the auto data example from stata:

. regress price mpg weight

      Source |       SS       df       MS              Number of obs =
74
-------------+------------------------------           F(  2,    71) =
14.74
       Model |   186321280     2  93160639.9           Prob > F      =
0.0000
    Residual |   448744116    71  6320339.67           R-squared     =
0.2934
-------------+------------------------------           Adj R-squared =
0.2735
       Total |   635065396    73  8699525.97           Root MSE      =
2514

----------------------------------------------------------------------------
--
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
         mpg |  -49.51222   86.15604    -0.57   0.567    -221.3025
122.278
      weight |   1.746559   .6413538     2.72   0.008      .467736
3.025382
       _cons |   1946.069    3597.05     0.54   0.590    -5226.245
9118.382
----------------------------------------------------------------------------
--

Does anyone know a command to retriece the coefficients from the regression,
ie, the coefficient associated with mpg, weight and const? Is it possible to
retrieve the cofficients from the t-stats, R^2, etc?


2. Imagine that we have the following data set (the number of observations
for each company is actually larger than the one showed...):

Company	Y	X1	X2
1		y_1	x1_1	x2_1
1		y_2	x1_2	x2_2
1		y_3	x1_3	x2_3
(...)
2		y_4	x1_4	x2_4
2		y_5	x1_5	x2_5	
2		y_6	x1_6	x2_6
(...)
n		y_n	x1_n	x2_n
n		y_n1	x1_n1	x2_n1
n		y_n2	x1_n2	x2_n2
(...)

I need to run a regression of Y=b0+b1*X1+b2*X2 for each company in the
dataset and then retrieve the coefficients for each regression obtained (and
t-stats and R^2) for each company and put it in another dataset/table. I've
tried to use a do file with a loop function, but I'm not able to get the
stuff working (because of the problem in 1. and because STATA doesn't seem
to be able to work with several datasets/files, or I haven't been able to
find this possibility).

Thanks for any help!

Pablo

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