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st: AW: fm regression code


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: fm regression code
Date   Tue, 4 Aug 2009 13:43:13 +0200

<> 

Quite possibly, -statsby- does exactly what you want:

*************
clear*

input companyid  monthlydate monthlyca monthlydy monthlytr lnmc
54      -1608   0.000   0.000   0.000   9.210
54      -1607   0.000   0.000   0.000   9.210
54      -1608   0.000   0.000   0.000   9.210
54      -1597   0.625   0.000   0.625   9.210
54      -1605   0.000   0.000   0.000   9.210
54      -1604   0.500   0.000   0.500   9.210
54      -1601   -0.429  0.000   -0.429  9.210
54      -1600   0.000   0.000   0.000   9.210
54      -1603   0.625   0.000   0.625   9.210
54      -1602   0.000   0.000   0.000   9.210
54      -1606   0.000   0.000   0.000   9.210
54      -1598   0.000   0.000   0.000   9.210
54      -1599   0.000   0.000   0.000   9.210
120     -1608   0.133   0.000   0.133   11.884
120     -1607   -0.100  0.000   -0.100  11.884
120     -1608   -0.065  0.000   -0.065  11.884
120     -1597   -0.250  0.000   -0.250  11.884
120     -1605   -0.389  0.000   -0.389  11.884
120     -1604   0.000   0.000   0.000   11.884
120     -1601   0.034   0.000   0.034   11.884
120     -1600   -0.172  0.000   -0.172  11.884
120     -1603   0.000   0.000   0.000   11.884
120     -1602   0.227   0.000   0.227   11.884
120     -1606   -0.118  0.000   -0.118  11.884
120     -1598   0.000   0.000   0.000   11.884
141     -1608   0.000   0.000   0.000   10.779
141     -1607   0.000   0.000   0.000   10.779
141     -1608   0.000   0.000   0.000   10.779
141     -1597   0.000   0.000   0.000   10.779
141     -1605   -0.043  0.000   -0.043  10.779
141     -1604   0.000   0.000   0.000   10.779
141     -1601   0.000   0.000   0.000   10.779
141     -1600   0.000   0.000   0.000   10.779
141     -1603   -0.233  0.000   -0.233  10.779
141     -1602   0.000   0.000   0.000   10.779
141     -1606   0.000   0.000   0.000   10.779
141     -1598   0.000   0.000   0.000   10.779
144     -1599   0.000   0.000   0.000   10.714
145     -1608   -0.111  0.003   -0.108  12.075
145     -1607   0.020   0.005   0.026   12.075
145     -1608   -0.020  0.005   -0.015  12.075
145     -1597   0.000   0.004   0.004   12.075
145     -1605   0.000   0.005   0.005   12.075
145     -1604   -0.083  0.005   -0.078  12.075
145     -1601   -0.027  0.004   -0.022  12.075
145     -1600   -0.058  0.004   -0.054  12.075
145     -1603   0.000   0.005   0.005   12.075
145     -1602   -0.020  0.005   -0.015  12.075
145     -1606   -0.009  0.004   -0.004  12.075
145     -1598   -0.082  0.003   -0.078  12.075
147     -1599   -0.167  0.000   -0.167  10.897
165     -1602   0.000   0.000   0.000   9.433
165     -1597   0.000   0.000   0.000   9.433
165     -1604   0.000   0.000   0.000   9.433
165     -1608   -0.429  0.000   -0.429  9.433
165     -1601   0.000   0.000   0.000   9.433
165     -1606   0.000   0.000   0.000   9.433
165     -1605   0.000   0.000   0.000   9.433
165     -1600   0.000   0.000   0.000   9.433
165     -1607   -0.429  0.000   -0.429  9.433
165     -1603   0.000   0.000   0.000   9.433
165     -1599   0.000   0.000   0.000   9.433
165     -1598   0.000   0.000   0.000   9.433
end

compress
list in 1/20, noobs

statsby _b e(N) e(r2_a), /* 
 */ by(monthlydate) clear :/* 
 */  reg monthlytr lnmc

l, noo
*************



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von qing ye
Gesendet: Dienstag, 4. August 2009 13:38
An: statalist@hsphsun2.harvard.edu
Betreff: st: fm regression code

hi, I want to run a fama -macbeth regression every month and store the
coefficients and number of observations, adjusted R2 in a matrix.

each row of the matrix corrspond to the result from each month.

I typed the following code, but it always gives the invalid syntax
message. Can you tell me what's wrong with the code?


forvalues monthlydate = -1609+ ? i ? {
reg monthlytr lnmc
matrix coefficient =e(b)
matrix regression_result [ ? i ?, 1] =coefficient [1 ,1]
matrix regression_result [ ? i ?, 2] =coefficient [1 ,2]
matrix regression_result [ ? i ?, 3] = e(N)
matrix regression_result [ ? i ?, 4] = e(r2_a)
i = ? i ? +1
}
matrix list regression_result

here is a sample of the dataset

companyid        monthlydate monthlyca monthlydy monthlytr lnmc
54      -1608   0.000   0.000   0.000   9.210
54      -1607   0.000   0.000   0.000   9.210
54      -1608   0.000   0.000   0.000   9.210
54      -1597   0.625   0.000   0.625   9.210
54      -1605   0.000   0.000   0.000   9.210
54      -1604   0.500   0.000   0.500   9.210
54      -1601   -0.429  0.000   -0.429  9.210
54      -1600   0.000   0.000   0.000   9.210
54      -1603   0.625   0.000   0.625   9.210
54      -1602   0.000   0.000   0.000   9.210
54      -1606   0.000   0.000   0.000   9.210
54      -1598   0.000   0.000   0.000   9.210
54      -1599   0.000   0.000   0.000   9.210
120     -1608   0.133   0.000   0.133   11.884
120     -1607   -0.100  0.000   -0.100  11.884
120     -1608   -0.065  0.000   -0.065  11.884
120     -1597   -0.250  0.000   -0.250  11.884
120     -1605   -0.389  0.000   -0.389  11.884
120     -1604   0.000   0.000   0.000   11.884
120     -1601   0.034   0.000   0.034   11.884
120     -1600   -0.172  0.000   -0.172  11.884
120     -1603   0.000   0.000   0.000   11.884
120     -1602   0.227   0.000   0.227   11.884
120     -1606   -0.118  0.000   -0.118  11.884
120     -1598   0.000   0.000   0.000   11.884
141     -1608   0.000   0.000   0.000   10.779
141     -1607   0.000   0.000   0.000   10.779
141     -1608   0.000   0.000   0.000   10.779
141     -1597   0.000   0.000   0.000   10.779
141     -1605   -0.043  0.000   -0.043  10.779
141     -1604   0.000   0.000   0.000   10.779
141     -1601   0.000   0.000   0.000   10.779
141     -1600   0.000   0.000   0.000   10.779
141     -1603   -0.233  0.000   -0.233  10.779
141     -1602   0.000   0.000   0.000   10.779
141     -1606   0.000   0.000   0.000   10.779
141     -1598   0.000   0.000   0.000   10.779
144     -1599   0.000   0.000   0.000   10.714
145     -1608   -0.111  0.003   -0.108  12.075
145     -1607   0.020   0.005   0.026   12.075
145     -1608   -0.020  0.005   -0.015  12.075
145     -1597   0.000   0.004   0.004   12.075
145     -1605   0.000   0.005   0.005   12.075
145     -1604   -0.083  0.005   -0.078  12.075
145     -1601   -0.027  0.004   -0.022  12.075
145     -1600   -0.058  0.004   -0.054  12.075
145     -1603   0.000   0.005   0.005   12.075
145     -1602   -0.020  0.005   -0.015  12.075
145     -1606   -0.009  0.004   -0.004  12.075
145     -1598   -0.082  0.003   -0.078  12.075
147     -1599   -0.167  0.000   -0.167  10.897
165     -1602   0.000   0.000   0.000   9.433
165     -1597   0.000   0.000   0.000   9.433
165     -1604   0.000   0.000   0.000   9.433
165     -1608   -0.429  0.000   -0.429  9.433
165     -1601   0.000   0.000   0.000   9.433
165     -1606   0.000   0.000   0.000   9.433
165     -1605   0.000   0.000   0.000   9.433
165     -1600   0.000   0.000   0.000   9.433
165     -1607   -0.429  0.000   -0.429  9.433
165     -1603   0.000   0.000   0.000   9.433
165     -1599   0.000   0.000   0.000   9.433
165     -1598   0.000   0.000   0.000   9.433

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