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Re: st: How to retrieve coefficient of a model using "by company name:..."


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: How to retrieve coefficient of a model using "by company name:..."
Date   Sun, 30 Oct 2011 07:25:52 -0400

<>
On Oct 30, 2011, at 2:33 AM, Stephen wrote:

> I have just run a regression "by company_name:", which gives me regression statistics for each company
> in my dataset as shown below, for example:
> 
> by company_name: reg return spci_rm
> _________________________________________________________________
> - -> company_name = AGL RESOURCES INC
> 
>      Source |       SS       df       MS                             Number of obs =  60
> - -------------+--------------------------------------           F(  1,    58)      =  6.07
>       Model |  .013284831     1  .013284831             Prob > F          =  0.0168
>    Residual |  .127033783    58  .002190238           R-squared       =  0.0947
> - -------------+-------------------------------------            Adj R-squared =  0.0791
>       Total |  .140318614    59  .002378282             Root MSE         =  .0468
> 
> - ----------------------------------------------------------------------------------------------
>      return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
> - -------------+-------------------------------------------------------------------------------
>     spci_rm |   .4204443   .1707167     2.46   0.017     .0787176    .7621709
>       _cons |  -.0011355   .0061018    -0.19   0.853    -.0133496    .0110786
> - ----------------------------------------------------------------------------------------------
> 
> _______________________________________________________________
> - -> company_name = ALLEGHENY ENERGY INC
> 
>      Source |       SS       df       MS                             Number of obs =  60
> - -------------+--------------------------------------           F(  1,    58)      =  8.18
>       Model |  .010267679     1  .010267679             Prob > F          =  0.0059
>    Residual |  .072769554    58  .001254647           R-squared       =  0.1237
> - -------------+-------------------------------------            Adj R-squared =  0.1085
>       Total |  .083037232    59  .001407411             Root MSE         = .03542
> 
> - ---------------------------------------------------------------------------------------------
> 
> 
> Now, I want to make use of the estimated coefficient for each company on the only variable in the
> above model, spci_rm, to run another regression. How can I get these coefficients automatically 
> transferred or summarized by company to be transferred to another dataset without manually
> inputing the coefficients in the dataset for the second regression that I want to run.

This is the purpose of the -statsby- command. See the example in its help file.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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