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st: RE: running multiple regressions at a time and saving coeffs


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: running multiple regressions at a time and saving coeffs
Date   Wed, 6 Feb 2008 22:16:33 -0000

As Stata is a statistical package, it is very good at computing whatever
descriptive statistics you need. So I see no case for exporting to
Excel. 

On the main part of your question, check out -statsby-. Then whatever
you want is probably just achievable with -summarize-. 

Nick 
n.j.cox@durham.ac.uk 

Adrian de la Garza

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.

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