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AW: st: Coefficients resulting from Cross-Sectional Regressions


From   Fabian Schönenberger <fabian.schoenenberger@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: Coefficients resulting from Cross-Sectional Regressions
Date   Fri, 6 Apr 2012 18:29:37 +0200

Then I am on the wrong track anyway. Which is the right formula to do panel
regressions with ID and t, for every single ID on each point in time in
order to get coefficients individualised by ID and t?
Many thanks in advance.


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Nick Cox
Gesendet: Freitag, 6. April 2012 17:20
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: Coefficients resulting from Cross-Sectional Regressions

statsby _b, by(gvkey) saving(coefsales): regress lnebit lnsales

conducts separate regressions for each firm. The coefficient does not differ
by year, as different years are pooled in each regression.

You can put the results of -statsby- back in the original dataset by using
-merge-.

Alternatively,

egen group = group(gvkey)
gen coeff = .
su group, meanonly

qui forval i = 1/`r(max)'  {
          regress lnebit lnsales if group == `i'
          replace coeff = _b[lnsales] if group == `i'
}

Nick

2012/4/6 Fabian Schönenberger <fabian.schoenenberger@gmail.com>:

> 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.

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