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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 15:35:32 +0100

hi, Nick

Thanks for pointing this out, so that I will avoid making this mistake
in the future!

Qing


2009/8/4 Nick Cox <n.j.cox@stata.com>:
> In addition, the most obvious error in your code are the extra spaces in
> macro references such as ` i '. Local macro i is referred to as `i' --
> without extra spaces.
>
> Nick
>
> Martin Weiss wrote:
>>
>> <>
>> Quite possibly, -statsby- does exactly what you want:
>
> qing ye
>
>> 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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