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Re: st: AW: fm regression code


From   qing ye <yeqing1013@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AW: fm regression code
Date   Tue, 4 Aug 2009 13:10:53 +0100

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 <martin.weiss1@gmx.de>:
>
> <>
>
> 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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