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st: Running 1000 regressions comparing the t-statistics


From   Hauptseminar@gmx.de
To   statalist@hsphsun2.harvard.edu
Subject   st: Running 1000 regressions comparing the t-statistics
Date   Tue, 24 May 2011 11:30:21 +0200

Dear STATA experts,

I´ve got a problem concerning a do-file. A short wrap up of the problem: I want to make more than 1000 newey-west regressions each using a different dependent variable and compare afterwards the t-statistics of all of them to distinguish the most significant dependent varibale.

I tried to do it with th command: 

parmby "newey exret L1.underberg_`x'_`y'_`z', lag(10)", saving(testimates, replace)

Instead of rplacing everytime the testimates.dta I want to have one .dta which includes the t-statistics of all newey-west regressions. Do you have any ideas to solve this problem? May the command: "append" be useful and is it linkable with the parmby command?

Thank you in advance,

Betty
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