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st: Coefficients resulting from Cross-Sectional Regressions


From   Fabian Schönenberger <fabian.schoenenberger@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Coefficients resulting from Cross-Sectional Regressions
Date   Fri, 6 Apr 2012 17:09:34 +0200

Dear Statalist
I am an absolute beginner in Stata and face now some challenges with
generating regression coefficients as new variable for further computations.
I use tsset id t to conduct cross-sectional regressions. ID is gvkey which
identifies firm (about 4?000 firms in my sample), t is fyear which
identifies the specific year (ranging from 1984 to 2010). What I am looking
for is the function to run cross-sectional regressions and generating
coefficients as new variable to my list of variables. In other words: I am
looking for b, specified for each ID for every t (yi,t = ai + bi,t*xi,t). 
I have tried the following:
statsby _b, by(gvkey) saving(coefsales): regress lnebit lnsales
However, two problems arise. First, the major problem, I only get
coefficients for gvkey, but not specified for every point in time (fyear).
Second, the coefsales are safed in a new file, but I would prefer a new
variable in my list of variable. 
Any suggestions to solve the two problems are highly appreciated. Many
thanks in advance. 
Kind regards, Fabian




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