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st: running multiple regressions at a time and saving coeffs


From   Adrian de la Garza <kokootchke@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: running multiple regressions at a time and saving coeffs
Date   Wed, 6 Feb 2008 14:16:17 -0500

Hi!

I have a variable in my dataset called "date," which has approximately 40 different dates in it. I would like to run an OLS regression for each of these dates, and store all of the coefficients somehow (eg, in a matrix), to then compute the average and standard deviations of all these coefficients.

I know I can run all of these regressions by date if I do the following:

bys date: reg y x1 x2 x3

but then this wouldn't save my betas anywhere. So I created a loop as follows:

egen group = group(date)
forvalues i = 1/40 {
reg y x1 x2 x3 if group == `i'
matrix mat`i' = e(b)
}

So now I have these 40 vectors mat1, mat2, mat3, ... mat40; which I would like to stack in one big matrix so that I can export it to Excel or something and compute the descriptive statistics I need, but I don't know how to do this.

OR, let me know if you know of a better way of doing what I want.

Thanks a lot!

Best,
Adrian
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