hi, Martin
you are right, statsby does exactly what I want, and it is really convenient!
Thanks so much!
Qing
2009/8/4 Martin Weiss <[email protected]>:
>
> <>
>
> 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: [email protected]
> [mailto:[email protected]] Im Auftrag von qing ye
> Gesendet: Dienstag, 4. August 2009 13:38
> An: [email protected]
> 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
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
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* http://www.ats.ucla.edu/stat/stata/
