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st: fm regression code


From   qing ye <yeqing1013@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: fm regression code
Date   Tue, 4 Aug 2009 12:33:11 +0100

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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